Exercise 2.3

This forum is to discuss the book "the concepts and practice of mathematical finance" by Mark Joshi.

Exercise 2.3

Postby Durazi » Wed Aug 20, 2014 3:05 pm

I think there is a typo in Exercise 2.3.

In the Question it says "Let P be a digital put struck at K1 and C be a digital call struck at K2"

In the Answer

II- "DC(K1) + DP(K2) < ZCB."

III- "DC(K1) + DP(K2) > ZCB."

I think it is correct when

II- "DP(K1) + DC(K2) < ZCB."

III- "DP(K1) + DC(K2) > ZCB."

Please correct me if I am wrong

Regards
Durazi
 
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