5557数理金融中等数值题short
Volatility Shift In Price 2
题目
A European call is priced under Black-Scholes with spot 95, strike 100, rate 0.04, dividend yield 0.01, maturity 0.5, and initial volatility 0.22. If volatility changes to 0.28 while all else is unchanged, what are the old and new call prices?
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你的答案
old_price
new_price