(85) Under the objective probability meosure P, the widerlying stock price dynamics dividend market gield, price of rish

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85 Under The Objective Probability Meosure P The Widerlying Stock Price Dynamics Dividend Market Gield Price Of Rish 1 (46.89 KiB) Viewed 51 times

(85) Under the objective probability meosure P, the widerlying stock price dynamics dividend market gield, price of rish) and {2} is stod price, t is the W(S) and a The se volatili parameter 1 tot pay the Wiene process dep Sistemas Convert date. The power controet hos current morbi trage paygd ot terminal date (T-<>o) equal to Wist»)-507 is such that: a) une corred b) o aw pricing formula W(s, t): S² (4.3(r.a) 32) (T-1) of the other + 3W (9-02) - 2ur at c) E, [dw] = ( wer-al + w3 okeldt d) S3 <W(sit) is 2023 (9-0) e) dw 30 kp de +3=dze 06) Start from the setup of the previous question. Given the termsel date. T(Tt), the dawn-site digital option with the terminal poyosi list) (tot) current no arbitrage price G(s, e) which is such that; has > correct other Q a) nore F the b) dG - Ee [do] = Gade" d dG = (1 +8561-945 Ap) + rs :-)dt - Godt+ As odia d) da - (- +A5C-9)+'rs?)de + A Sode? el do = Gede (r + Ashpl di + Doda