What happens to the value of an option when both S0 and X change by the same

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What happens to the value of an option when both S0 and X change by the same factor, holding u, d, r, and r∗ constant?

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International Finance Putting Theory Into Practice

ISBN: 978-0691136677

1st edition

Authors: Piet Sercu

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Question Posted: Aug 07, 2017 09:45 AM

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What happens to the value of an option when both S0 and X change by the same

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is unaffected and the payoffsS X ...View the full answer

International Finance Putting Theory Into Practice

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