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Consider the European digital option that pays a constant H if the stock price is
above strike price X at maturity and zero otherwise. Assuming stock price S
follows the following SDE under physical measure
dS/S=udt+mdBt
Assuming the risk-free rate is constant r. Please write down the price of this
option and explain how it is related to the price of the standard Black-Scholes
European call option.
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