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Question
We wish to cap participation in a 3-year equity-linked option at 50.0% return. Our profit alpha is 3.0%. The S&P 500 price = 950, div = 0.015, σ = 0.22, and interest rates are 4.8%. What is the implied participation rate?A) 0.66
B) 0.76
C) 0.96
D) 1.16
Answer
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Related questions
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