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Pricing and hedging a digital · Part 1 of 3
A one-year digital call pays $1 if a stock, now at $100, finishes above $100. Rates are zero and at-the-money implied volatility is 20%.
In Black–Scholes with a flat 20% volatility, what is the digital worth? Take N(0.1) = 0.5398.
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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