A stock price is currently $20. Tomorrow, news is expected to be announced that will either increase

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A stock price is currently $20. Tomorrow, news is expected to be announced that will either increase the price by $5 or decrease the price by $5. What are the problems in using Black-Scholes to value one-month options on the stock?

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:02 AM

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A stock price is currently $20. Tomorrow, news is expected to be announced that will either increase

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Options Futures And Other Derivatives

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