Suppose that the volatility of an asset will be 20 from, Financial Management

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Suppose that the volatility of an asset will be 20 from

1. Confirm that the CEV model formulas satisfy put-call parity.

2. Use Monte Carlo simulation to show that Merton's value for a European option is correct when

3. Confirm that Merton's jump-diffusion model satisfies put-call parity when the jump size is lognormal.

4. Suppose that the volatility of an asset will be 20% from month 0 to month 6, 22% from month 6 to month 12, and 24% from month 12 to month 24. What volatility should be used in Black-Scholes-Merton to value a 2-year option?

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Financial Management: Suppose that the volatility of an asset will be 20 from

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Financial Management: Suppose that the volatility of an asset will be 20 from

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