How does Jump-Diffusion Model Affect Option Values
How does Jump-Diffusion Model Affect Option Values?
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The size of the jump can be random also. As you raise the frequency of the jumps as all other parameters remaining similar, the values of calls and puts raise. The prices of binaries, and other options, can go either up or down.
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Stock price is $98; and European call option struck at $100 along with an expiration of nine months has a value of $9.07. There nine-month, compounded continuously, interest rate is 4.5%. So find out the value of the put option with the same strike and expirat
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