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Strike Given Delta

Since $v_x=\Delta=\phi e^{-r_f\tau}{\cal N}(\phi d_+)$ we can retrieve the strike as

\begin{displaymath} K=x\exp\left\{-\phi{\cal N}^{-1}(\phi\Delta e^{r_f\tau})\sigma\sqrt{\tau}+\sigma\theta_+\tau\right\}. \end{displaymath} (50)



2000-06-11
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