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Quantitative Asset And Liability Modelling d) European gap put option: Stricke price = K1 Payment trigger = K2 Expiry date = T Optimal payment level of trigger K2 = GapPut(S,K1,K2,T) = K1e^-rT *N (-d2) –Se ^–dt N (-d1) Suitable upper bond = [p <= K1*exp(-rt)] e) Current price S0 = $ 20 Risk free force of interest = 3% Continuously compounded real world drift = 7% Volatility =15% Time = 2 years …
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