Questions tagged [continuous-time]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
1 answer

Risk-neutral pricing to determine no-arbitrage price

We are asked to consider a derivative with payoff $C_t = S_{T}^{1/3}$ at maturity $T > 0$ and to use risk neutral pricing to derve the no-arbitrage price process $C_{t}$. Some context: Let $W$ be a ...
George's user avatar
  • 15
0 votes
1 answer

Pricing Secured Barrier Call

A European barrier call with barrier $B = 50$, expiration $T = 31$, and strike $K = 33$ costs $12$. The investor is interested in a product that, unlike this barrier call, offers some protection for ...
QFi's user avatar
  • 215