Question: Using the CEV option pricing model, set = 3 and generate option prices for strikes from 60 to 140, in increments of 5, for

Using the CEV option pricing model, set β = 3 and generate option prices for strikes from 60 to 140, in increments of 5, for times to maturity of 0.25, 0.5, 1.0, and 2.0. Plot the resulting implied volatilities.

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We get the following prices from the CEV model t 025 t 05 t 1 t 2 60 411881 423... View full answer

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