How to replicate the structure of a financial structure?

M

Maziad A

New member
A structure for one period, trading at 100 and has two scenarios:
S≤100=100
S>100= 100+Max(S-100,20)
market data are:
intrest is 7%, one year call option price 100 and trading for 8
one year call option with price 120 and trading for 2

How much profit this structure can make
replicate the structure using above data to price it
Thanks
 
Back
Top