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What happens when the volatility is zero in the Black-Scholes-Merton model? none of the above the option price converges to either zero or the lower
What happens when the volatility is zero in the Black-Scholes-Merton model?
none of the above | ||
the option price converges to either zero or the lower bound | ||
the option automatically expires out of the money | ||
the option price converges to the intrinsic value | ||
the gamma and delta converg |
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