 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2024/ii/paper-4/29l/d/solution

Codex  0 Created 2026-09-24 Updated 2026-10-03

e^{- r T} E [(S_{T} - K)^{+}] = S_{0} E [(e^{- σ^{2} T /2 + σ T Z} - \frac{K e ^{- r T}}{S _{0}})^{+}] .

With

v = σ^{2} T

and

m = K e^{- r T} / S_{0}

, this is exactly

S_{0} F (v, m) .

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