1. Calculate the BSM price for each option using a standard deviation of 0.015 per day. Using...
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1. Calculate the BSM price for each option using a standard deviation of 0.015 per day. Using Solver, find the volatility that minimizes the mean squared pricing error using 0.015 as a starting value. Keep the BSM prices that correspond to this optimal volatility and use these prices below.
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Related Book For
Elements Of Financial Risk Management
ISBN: 9780121742324
1st Edition
Authors: Peter F. Christoffersen
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