Question: This problem involves the sensitivity to changes in S of the European put option PE(S,t) measured mathematically as aPE(S,t) Ap = as Consider a European

This problem involves the sensitivity to changes in S of the

This problem involves the sensitivity to changes in S of the European put option PE(S,t) measured mathematically as aPE(S,t) Ap = as Consider a European put option on a stock with a strike price equal to the current stock price (t=0) and 4 years until expiration. Assume the risk-free interest rate is zero. Find an expression for Ap as a function of the volatility o only. What is Ap when o = 0.20? Please round your numerical answer to 4 decimal places

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