6. An asset-or-nothing call option pays the amount ST if ST > K and pays nothing otherwise. Use Theorem XXXXXXXXXXto show that the value of the option at time t Use this result together with that of...

6. An asset-or-nothing call option pays the amount ST if ST > K and pays nothing otherwise. Use Theorem 12.3.2 to show that the value of the option at time t

Use this result together with that of Exercise 5 to show that in the BSM model a portfolio long in an asset-or-nothing call and short in a cash-or-nothing call with cash K has the same time-t value as a standard call opt

Exercise 5

A cash-or-nothing call option pays a constant amount A if ST > K and pays nothing otherwise. Use Theorem 12.3.2 to show that the value of the option at time t