19. Using the CEV option pricing model, set = 1and generate option prices for strikes from...
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19. Using the CEV option pricing model, set β = 1and generate option prices for strikes from 60 to 140, in increments of 5, for times to maturity of 0.25, 0.5, 1.0, and 2.0.
Plot the resulting implied volatilities. (This should reproduce Figure 7.)
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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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