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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 405
us, the current stock price will be adjusted to INR 480 – INR 14.70 = INR 465.30. Using this price as the current
price, the option price would be INR 3.30. is example shows that the price of the option would change from INR
7.14 for a non-dividend-paying stock to INR 3.30 for a dividend-paying stock.
16.8 Volatility
Of the ve variables that impact option prices, exercise price, current stock price, time to maturity of the
option, and risk-free interest rates are known at the time the option is bought. However, the volatility of
stock returns is unknown and needs to be estimated. If volatility ...
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Publisher Resources

ISBN: 9781299447547Publisher Website