Consider a European call and a European put with the same strike price and time to maturity.

Question:

Consider a European call and a European put with the same strike price and time to maturity.

Show that they change in value by the same amount when the volatility increases from a level u, to a new level a2 within a short period of time. (Hint: Use put-call parity.)

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: