Using the B-S OPM Excel program, calculate the call option price for each annualized standard deviation shown

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Using the B-S OPM Excel program, calculate the call option price for each annualized standard deviation shown below. Assume $R=$ $3 \%, S_{0}=\$ 100, t=0.25, X=\$ 100$, and no dividends.

\[\sigma=0.50,0.60,0.70, \text { and } 0.80\]

Comment on the relationship.

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Derivatives Markets And Analysis

ISBN: 9781118202692

1st Edition

Authors: R. Stafford Johnson

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Question Posted: Apr 26, 2024 05:00 AM

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Using the B-S OPM Excel program, calculate the call option price for each annualized standard deviation shown

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Derivatives Markets And Analysis

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