Produce a graph comparing a calls intrinsic value [defined as max(S X , 0)] and its

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Produce a graph comparing a call’s intrinsic value [defined as max(S − X , 0)] and its Black-Scholes price. From this graph you should be able to deduce that it is never optimal to exercise early a call priced by the Black-Scholes.

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Financial Modeling

ISBN: 9780262027281

4th Edition

Authors: Simon Benninga

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