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For So 100, v = 10%, r = 5% and X = 100, find the prices of a call and a put with six-
For So 100, v = 10%, r = 5% and X = 100, find the prices of a call and a put with six- month expiry using the BSM model. Then, for each option, calculate the delta, lambda, gamma, theta, rho, and vega parameters.
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Given S0 100 v 10 01 r 5 005 X 100 Time to expiry T 6 months 0...
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Derivative Pricing
Authors: Ambrose Lo
1st Edition
0367734214, 978-0367734213
