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Financial Risk Manager Part 1

Financial Risk Manager Part 1

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A 1-year forward contract on a stock with a forward price of USD 100 is available for USD 1.50. The table below lists the prices of some barrier options on the same stock with a maturity of 1 year and strike of USD 100. Assuming a continuously compounded risk-free rate of 5% per year. What is the price of a European put option on the stock with a strike of USD 100?

OptionPrice
Up-and-in barrier call, barrier USD 95USD 5.21
Up-and-out barrier call, barrier USD 95USD 1.40
Down-and-in barrier put, barrier USD 80USD 3.5

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