15. The current price of a stock is 100. Suppose that the logarithm of the price of...
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15. The current price of a stock is 100. Suppose that the logarithm of the price of the stock changes according to a Brownian motion with drift coefficient μ = 2 and variance parameter σ2 = 1. Give the Black-Scholes cost of an option to buy the stock at time 10 for a cost of
(a) 100 per unit.
(b) 120 per unit.
(c) 80 per unit.
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