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WhiteNessDukeNess
Member
Please can anyone help me to understand the examiners solution to the 'ST6: April 2012 Question 7 part ii' for finding X?
The examiners report states that:
At time 0
The value of the youngest’s share = value of put + 10,000* Exp(...)* Prob(S5 < X)
Please can anyone explain why the “value of put” is used and not “value of put* Prob(S5<3000)”?
Thanks
The examiners report states that:
At time 0
The value of the youngest’s share = value of put + 10,000* Exp(...)* Prob(S5 < X)
Please can anyone explain why the “value of put” is used and not “value of put* Prob(S5<3000)”?
Thanks