Business, 22.02.2020 05:19, douglife5098
Let S = $100, K = $120, σ = 30%, r = 0.08, and δ = 0. a. Compute the Black-Scholes call price for 1 year to maturity and for 10 years to maturity. What happens to the option price? b. Set δ = 0.001. Repeat (a). Now what happens to the option price? What accounts for the difference?
Answers: 1
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Let S = $100, K = $120, σ = 30%, r = 0.08, and δ = 0. a. Compute the Black-Scholes call price for 1...
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