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Repeat Problem 24 16 except let J 0 20 and in

Repeat Problem 24.16, except let αJ = 0.20, and in part (b) consider expected alternate jump magnitudes of 0.10 and 0.50.

The following two problems both use the CEV option pricing formula. Assume in both that S = $100, r = 8%, σ0 = 30%, T = 1, and δ = 0.

The following two problems both use the CEV option pricing formula. Assume in both that S = $100, r = 8%, σ0 = 30%, T = 1, and δ = 0.

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