Stock A and Stock B both have a current price of $50. Stock A has 75% volatility,

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Stock A and Stock B both have a current price of $50. Stock A has 75% volatility, and Stock B has 40% volatility. Consider a 3-month call option with a strike price of $55 for Stock A and the same call option for Stock B. Which is worth more?

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Market Practice In Financial Modelling

ISBN: 9789814366540

1st Edition

Authors: Tan Chia Chiang

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Posted Date: Apr 29, 2024 04:13 AM

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Stock A and Stock B both have a current price of $50. Stock A has 75% volatility,

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To determine which call option is worth more we need to consider the volatility of the underlying st... View the full answer

Market Practice In Financial Modelling

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