Suppose that in Example 22.3 of Section 22.3 the payoff occurs after one year (i.e., when the

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Suppose that in Example 22.3 of Section 22.3 the payoff occurs after one year (i.e., when the interest rate is observed) rather than in 15 months. What difference does this make to the inputs to Black's models?

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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 07:03 AM

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Suppose that in Example 22.3 of Section 22.3 the payoff occurs after one year (i.e., when the

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Options Futures And Other Derivatives

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