Suppose that the volatility of an asset will be 20% from month 0 to month 6, 22%

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Suppose that the volatility of an asset will be 20% from month 0 to month 6, 22% from month 6 to month 12, and 24% from month 12 to month 24. What volatility should be used in Black-Scholes-Merton to value a two-year option?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:27 PM

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Suppose that the volatility of an asset will be 20% from month 0 to month 6, 22%

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