Consider an increase in the volatility of the stock in the previous problem. Suppose that if the
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Consider an increase in the volatility of the stock in the previous problem. Suppose that if the stock increases in price, it will increase to $130, and that if it falls, it will fall to $70. Show that the value of the call option is now higher than the value derived in the previous problem.
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The two possible stock prices and the corresponding call ...View the full answer
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