Take the partial derivative of the Black-Scholes value of a call option with respect to the volatility

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Take the partial derivative of the Black-Scholes value of a call option with respect to the volatility parameter. Show that this derivative is positive and equal to 6. If take the partial derivative of the Black-Scholes value of a call option with respect to the interest rate rf. Show that this derivative is positive and equal to

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Financial Markets And Corporate Strategy

ISBN: 9780077119027

1st Edition

Authors: David Hillier, Mark Grinblatt, Sheridan Titman

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