In the assumption of the BlackScholesMerton model, a. What is the stocks return volatility? b. What is

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In the assumption of the Black–Scholes–Merton model,
a. What is the stock’s return volatility?
b. What is assumed about the stock’s return volatility? Is this assumption reasonable or not?
If not, why do you think it is used?

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An Introduction to Derivative Securities Financial Markets and Risk Management

ISBN: 978-0393913071

1st edition

Authors: Robert A. Jarrow, Arkadev Chatterjee

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Question Posted: Dec 02, 2015 03:53 AM

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In the assumption of the BlackScholesMerton model, a. What is the stocks return volatility? b. What is

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a The stocks return volatility is the standard deviation of the s...View the full answer

An Introduction to Derivative Securities Financial Markets and Risk Management

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