Produce a graph comparing a puts intrinsic value [ = max( X S ,0)] and its

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Produce a graph comparing a put’s intrinsic value [ = max( X − S ,0)] and its Black-Scholes price. From this graph you should be able to deduce that it may be optimal to exercise early a put priced by the Black-Scholes formula.

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Financial Modeling

ISBN: 9780262027281

4th Edition

Authors: Simon Benninga

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