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Suppose that one uses the Black and Scholes model to calculate implied volatilities for call and put options with different strike and maturities. Discuss the

Suppose that one uses the Black and Scholes model to calculate implied volatilities for call and put options with different strike and maturities. Discuss the volatility pattern obtained if the underlying follows: i. a simple geometric Brownian motion. ii. a jump-diffusion process. iii. a stochastic volatility process (asset price and volatility are negatively correlated).

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