Cheang, Gerald H. L.; Chiarella, Carl - Finance Discipline Group, Business School - 2008
.
Proof. Without loss of generality, we derive a formula for the option price at time t =0.
Denote the event that the option … that this is equivalent to the event
A =
braceleftbigg
σ
1
tildewider
W
1,T
− σ
2
tildewider
W
2,T
+
N
T
summationdisplay
j …(˜κ
1
− ˜κ
2
)
parenrightbigg
T
bracerightbigg
.
(39)
The event that the option is in-the-money at maturity conditional on n …