Exercise 4.7 In the BlackScholes formula (4.21)(4.22), suppose that S = K = 100, t = 0,
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Exercise 4.7 In the Black–Scholes formula (4.21)–(4.22), suppose that S =
K = 100, t = 0, and T = 0.4. Draw the graphs of the option premiums with respect to the volatility σ, 0.01 ≤ σ ≤ 0.6, for the cases that r = 0.05, 0.1, and 0.2.
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Related Book For
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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