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comment Hedging future USD cost using different IR and forwards
The next question would be how to construct a synthetic forward hedge, i.e. making use of the addition data on available 6m-interest rates.
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revised Hedging future USD cost using different IR and forwards
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revised Magnitude of Transaction Cost for Institutional Investors
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Dec
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comment price of a “Cash-or-nothing binary call option”
I found that $\mathbb{Q}_t(S_T\geq K)=N(d_2)$, where $\mathbb{Q}$ denotes risk-neutral probability, which should solve part e): The present value is the discounted future payoff, which is just $p$ if $p$ is the probability that $S_T\geq K$. Hence, the current value is $e^{-r(T-t)}\mathbb{Q}_t(S_T\geq K)=e^{-r(T-t)} N(d_2)$
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