Question
According to the Black-Scholes model for evaluating European options on non-dividend paying stock, which option sensitivity (Greek) would be identical for both a call and
According to the Black-Scholes model for evaluating European options on non-dividend paying stock, which option sensitivity (Greek) would be identical for both a call and a put option, given that the implied volatility, time to maturity, strike price and risk-free interest rate are the same?
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Financial Markets and Institutions
Authors: Jeff Madura
12th edition
9781337515535, 1337099740, 1337515531, 978-1337099745
