## Question

# 5 Question 42 (2.5 points) Consider a put option that gives the long position the right to sell the underlying asset for $12.34 in

## 5 Question 42 (2.5 points) Consider a put option that gives the long position the right to sell the underlying asset for $12.34 in 5.67 years. The continuously compounded risk free rate of interest is 8.9%. The market price of the underlying asset is $10.11. By how much will the option increase in value as the volatility of the underlying asset's returns increases from 12% to 13%? An Excel file can be accessed through clicking the following link: ForwardandOptionValuation (3).xls O 0.03 O 0.05 O 0.07 O 0.09 ) (3 5 points)

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Given Put option strike price 1234 Time to expiration 567 years Risk free rate 89 continuo...### Get Instant Access to Expert-Tailored Solutions

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### An Introduction to the Mathematics of Financial Derivatives

**Authors:** Ali Hirsa, Salih N. Neftci

3rd edition

012384682X, 978-0123846822

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