Correction, Exercise 1b from October 9th and its solution_澳门葡京手机版app下载

fredb
2023-10-22T15:11:41.342Z
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The solutions of exercise 1b from October 9th is finding the hedging strategy of a digital option that pays 1 if the stock goes twice up (and zero otherwise). In the exercise itself you were asked to consider a digital that pays 1 if the stock goes twice down (and zero otherwise). I ask you to consider both cases of a digital, and calculate the hedging strategies (one case has a solution, then, and one does not have a solution available).