Consider an increase in the volatility of the stock in the previous problem. Suppose that if the

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Consider an increase in the volatility of the stock in the previous problem. Suppose that if the stock increases in price, it will increase to $130, and that if it falls, it will fall to $70. Show that the value of the call option is now higher than the value derived in the previous problem.


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Investments

ISBN: 9780073530703

9th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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