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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
The Black–Scholes Options Pricing Model 401
e eect of the changes in the volatility of stock prices on the call price and put price is shown in
Fig. 16.7 and Fig. 16.8, respectively.
16.6.5 The Risk-free Rate
e impact of changes in the risk-free rate on the call price and put price is not as clear cut as the impact
of changes in the stock price, exercise price, time to expiration, or volatility. To understand the impact of
changes in the risk-free rate on call and put prices, we will consider how synthetic calls and puts can be
created.
A synthetic call position can be created by buying n
C
number of shares and borrowing n
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Publisher Resources

ISBN: 9781299447547Publisher Website