12. Suppose S = ($100), K = ($95), = 30%, r = 0.08, = 0.03,...
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12. Suppose S = \($100\), K = \($95\), σ = 30%, r = 0.08, δ = 0.03, and T = 0.75. Using the technique in the previous problem, compute the Greek measure corresponding to a change in the dividend yield. What is the predicted effect of a change of 1 percentage point in the dividend yield?
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Related Book For 
Derivatives Markets Pearson New International Edition
ISBN: 978-1292021256
3rd Edition
Authors: Robert L. Mcdonald
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