Compute the Black-Scholes price of three (in-the-money, at-the-money, and out-of-the-money) call options on the SP500 index by

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Compute the Black-Scholes price of three (in-the-money, at-the-money, and out-of-the-money) call options on the SP500 index by using the unconditional variance of the SP500 returns. How good is the approximation?

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Forecasting for Economics and Business

ISBN: 978-0131474932

1st edition

Authors: Gloria Gonzalez Rivera

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Question Posted: Feb 25, 2016 06:22 AM

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Compute the Black-Scholes price of three (in-the-money, at-the-money, and out-of-the-money) call options on the SP500 index by

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On June 7 Friday 2013 the SP500 index is S t 164338 On this day we would like to know the price of call options SPX written on the index that will be ...View the full answer

Forecasting for Economics and Business

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