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In: Accounting

Which portfolio of options will replicate a plain vanilla call option? a. An up-and-in barrier option...

Which portfolio of options will replicate a plain vanilla call option?

a.

An up-and-in barrier option call and a up-and-out barrier put option each with the same strike as the plain vanilla option.

b.

Barrier options can't be used to replicate a plain vanilla option.

c.

An up-and-in barrier option call and a up-and-out barrier call option each with the same strike as the plain vanilla option.

Solutions

Expert Solution

ekkarill92 answered 2 years ago
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