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Let KK Denote the Strike of an Asset-Or-Nothing Call Option And STS _ { T }

Question 36

Multiple Choice

Let KK denote the strike of an asset-or-nothing call option and STS _ { T } the price of the underlying at maturity. The option is worth


A) The present value of STS _ { T } taken over the region STKS _ { T } \geq K .
B) The present value of KK taken over the region STKS _ { T } \geq K .
C) KK times the risk-neutral probability of the option finishing in-the-money.
D) The present value of SFKS _ { F } - K taken over the region STKS _ { T } \geq K .

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