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 two-year option?

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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 the volatility of an asset will be 20% from month 0 to month 6, 22%

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Options Futures And Other Derivatives

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