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486.Pricing a Straddle at Zero

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expected valueCh. 6 — Random Variables and Expectation444+ Problems in Probability
An underlying settles at S∼N(0,1)S \sim N(0, 1). A straddle at strike K=0K = 0 pays ∣S−K∣=∣S∣|S - K| = |S|. What is the fair value of this straddle?

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