Given r=0, σ(K)=const Binary=lim┬(ε→0)〖((C(K,σ(K))-C(K+ε,σ(K+ε))))/ε〗 What is the analytical expression for the binary option value?
σ(K)=const Therefore, Binary=lim┬(ε→0)〖((C(K)-C(K+ε)))/ε〗
What is the next step? Thank you
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