Implied volatility

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    Ambiguity is used for the reader to draw his or her own conclusions, even if a meaning was meant to be implied by the author. In Henrik Ibsen’s Hedda Gabler, for instance, readers are left with ambiguity after the conversation between Hedda and Judge Brack in their second confrontation with one another. The reader knows that there has to be something more between the two characters due to the vagueness and obscurity of their conversation. Inevitably, he or she assumes that their relationship must be deeper due to possible implications we might draw from the character’s discussion. Ambiguity allows for freedom of the mind and lets the imagination go where it pleases without limitations or…

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    established by both the fact that BUTCH pet foods company has been around since 1964 and is still in business as well as by the lineage of similar ads that have been marketed by this company. These ads tend to ignore most of the population by focusing primarily on egotistical males and people who believe in the stereotypes it indicates. What makes this ad so bad isn’t really the content but the fact that society has accepted this ad as a normal part of advertising campaigns which shows that the…

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    Grice Court Cases

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    As previously discussed, a homeowner impliedly invites guests to enter their property by hanging a knocker. But in Grice, the proverbial knocker certainly was not hung. To the contrary, the front door was barricaded with furniture and covered with plastic. It seems troubling that even when a person has barricaded the door of his house, there was not even a whisper from the Grice court wondering if the implied license might have been revoked. By way of example, several circuits have held that a…

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    strong assumption of constant volatility cannot express high peak and flat tail character of derivatives, and the relative between the spot return and the variance. Therefore, there are several theories try to extend and modify the original Black-Scholes’ model. The Heston stochastic volatility model is the most popular extension to the Black-Scholes’ model(Tse & Wan 2013). The first scheme widely accepted is Euler-Maruyama Scheme. This scheme is efficient, easy to implement, and almost can be…

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    (“plaintiff #3”), who live with Plaintiff #1 and work at the auto body repair shop. Plaintiff #1 purchased a Western Generator Company 17,500 Watt Electric Start Portable Generator from the defendant’s online store. Before accepting the terms and completing the order, the plaintiff noticed the blue hyperlink admonishing him to view WGC’s warranty policy. However, instead of clicking the link and he blithely ignored it and finalized his purchase. Shortly after he installed the generator, a…

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    sold to Mr. Rogers was subject to an implied warranty of merchantability; and 2. If an implied warranty existed, what are the damages? LEGAL ANALYSIS AND DISCUSSION: Implied Warranty: Merchantability Mr. Rogers may be able to argue that the goods sold were not merchantable and an implied warranty existed. The Uniform Commercial Code §2-314 articulates the standard for an implied warranty. Under §2-314, there is an implied warranty of merchantability when: “[u]nless excluded or modified…

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    Noise Trader Essay

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    noise trader risk rises and the mispricing worsens and the fund has to pay lot of margin calls to hold the position, the investors may panic and the arbitrageur might face financing issues to carry on with his arbitrage strategy. The investor might doubt arbitrageur’s abilities and they might withdraw their precisely when the expected gain is at the maximum – lost opportunity which could have covered all the expenses incurred till now. This might make the arbitrageur to participate less in such…

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    The volatility smile is so named because it looks like a person smiling. The implied volatility is derived from the Black-Scholes model, and the volatility adjusts according to the option's maturity and the extent to which it is in-the-money (moneyness). The volatility smile may be explained by investor demand for options of the same expiration date but disparate strike prices. In-the-money and out-of-the-money options are usually more desired by investors than at-the-money options. As the price…

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    the effects on the stock option of increasing one variable while keeping all others fixed. All of these factors are explained in detail below. Unlike forward and futures contracts which are costless at initiation, an option purchaser must pay a premium to hold the contract, which explains why the cost of an option is referred to as the option’s premium. They are priced on a per share basis. Each option on a stock generally corresponds to 100 shares. Therefore, if the premium of an option is…

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    can be replicated with the following portfolio: a long position in 31.746 shares of Corning common stock, a short position in 31.746 call options with a strike price of $3.15, and a long position in 26.021 call options with a strike price of $3.84. However, in order to value this portfolio using Black-Scholes formula, we need the volatility percentage of the options. Exhibit 3 provides a calculation of the implied volatility of three call options (from Exhibit 11 of the case) with durations…

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