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scotthuang (scott) 于 (Wed Feb 21 14:09:36 2007) 提到:
There is some stock S and S = 16 now. In 1 month time, 0
price of a call option on S with strike = 16? You don't know anything else.
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ThatYear (那年) 于 (Wed Feb 21 14:20:40 2007) 提到:
make assumptions:
it is struck in the money
time to maturity is short, r=0.
roughly estimate sigma, you have s<20
c=sigma*S*(tau/2pi)~0.5
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