A stock price is currently $20. Tomorrow, news is expected to be announced that will either increase

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A stock price is currently $20. Tomorrow, news is expected to be announced that will either increase the price by $5 or decrease the price by $5. What are the problems in using Black-Scholes to value 1-month options on the stock?

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Risk Management And Financial Institutions

ISBN: B008AUN1VW

1st Edition

Authors: John C Hull

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Question Posted: Jul 10, 2024 10:04 AM

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A stock price is currently $20. Tomorrow, news is expected to be announced that will either increase

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Risk Management And Financial Institutions

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