Using the parameters in the header of Table 5.1, except for the drift, and analyze the OTM

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Using the parameters in the header of Table 5.1, except for the drift, and analyze the OTM call trade (85 strike) for various values of drift; for example μ = 0.02, μ = 0.04, and μ = 0.06.

Data given in Table 5.1

Table 5.1 Gain expectation for put and call options for the calls: So = $80, T = 20(days), =8%, r = 1%, o =

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Finance With Monte Carlo

ISBN: 9781461485100

2013th Edition

Authors: Ronald W. Shonkwiler

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