Double barrier call option for one unit of our asset

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If the initial price of our asset is $119, consider a double barrier call option for one unit of our asset with expiry time 9 months (T = 0.75). The strike price is $125, but the option only pays o? if the price never falls below $100, or rises above $135. Find the time zero value of this option. Use whichever method you’d like, but include a discussion of your technique and parameters. (notification:Assume the data provided gives the daily closing price of an asset (with no splits or dividends) for one year (T = 1) and one day. You should notice there are 261 entries; we will assume there are 260 weekdays in a year, and we will take 5 days/week. Assume the interest rates for all problems in this part is 3% (r=0.03).)

Reference no: EM131579235

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