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Evaluate the contract in every model state
Current underlying is 100, terminal states 130/80, factor 1.05 and strike 200. Both call expressions are zero. A model with no other expiry prices therefore contains no positive call payoff.
Construct the zero record
Δ=(0−0)/50=0. Current cash is zero. Both terminal replicated amounts and current replication cost are zero. Weighting the two zero payoffs also gives zero.
| State | Call payoff | Replica |
|---|---|---|
| Higher 130 | 0 | 0 |
| Lower 80 | 0 | 0 |
Do not equate the state set with every possible price
A broader model allowing terminal prices above 200 could assign positive payoff in those additional states. The zero result belongs to the supplied state support, not to every strike-200 option in real markets.
Keep a legitimate zero separate from missing data
All required inputs are known in this example. An absent price or missing state is not a known zero claim. The calculator rejects missing inputs rather than inventing an inactive payoff.