Suppose that the volatility of an asset will be 20% from month 0 to month 6, 22%
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Suppose that the volatility of an asset will be 20% from month 0 to month 6, 22% from month 6 to month 12, and 24% from month 12 to month 24. What volatility should be used in Black-Scholes to value a 2-year option?
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Muhammad Salman Alvi
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