Question: Let S = $100, K = $100, = 30%, r = 0.08, t = 1, and = 0. Let n = 10. Suppose

Let S = $100, K = $100, σ = 30%, r = 0.08, t = 1, and δ = 0. Let n = 10. Suppose the stock has an of 15%.
a. What is the on a European call option? A European put option?
b. What happens to the if you increase the volatility to 50%? Discuss.

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