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Assume that the interest rate is 1 basis point per day (approximately 2.55% per year = 1.0001^252 -1) and that on days that prices move
Assume that the interest rate is 1 basis point per day (approximately 2.55% per year = 1.0001^252 -1) and that on days that prices move up they are 1.01 previous day's price. Down moves are the inverse. What is the combined premium? Use the binomial model from the prior question to calculate the annualized volatility as in the Black-Schole model. consider the distribution of in (S_252) or determine which volatility in the model imply the same amount premium for the options. What is the annualized volatility? Assume that the interest rate is 1 basis point per day (approximately 2.55% per year = 1.0001^252 -1) and that on days that prices move up they are 1.01 previous day's price. Down moves are the inverse. What is the combined premium? Use the binomial model from the prior question to calculate the annualized volatility as in the Black-Schole model. consider the distribution of in (S_252) or determine which volatility in the model imply the same amount premium for the options. What is the annualized volatility
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