(a) Make a chart similar to Fig. 6.9 showing the price of a put option using a...
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(a) Make a chart similar to Fig. 6.9 showing the price of a put option using a difference IG model for stock prices versus the GBM model. Use a− = a+ = 41 and b− = b+ = 8. What are the mean and variance of the difference IG process?
(b) Do the same for calls.
Data Given in Figure 6.9
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