Using the information in Problem 19-2, determine the sensitivity of the call value to a change in

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Using the information in Problem 19-2, determine the sensitivity of the call value to a change in inputs by recalculating the call value if

a. The interest rate doubles to 14 percent, but all other values remain the same

b. The standard deviation doubles to 0.8, but all other values remain the same

c. Which change causes the greatest change in the value of the call? What can you infer from this?

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Investments Analysis and Management

ISBN: 978-1118363294

12th edition

Authors: Charles P. Jones

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Question Posted: Dec 15, 2015 06:30 AM

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Using the information in Problem 19-2, determine the sensitivity of the call value to a change in

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a 1167 b 1235 c The change in volatility ...View the full answer

Investments Analysis and Management

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