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Black-Scholes Closed Form Solution
Provide a brief description of the Black-Scholes closed form solutions for European Call and Put options to include the relevant formulae and assumptions of the model. Use Word's Equation Editor for all formulaic expressions. Briefly discuss limitations of the model (e.g., can be used to value only European style options) and issues associated with the model (e.g., assumption of constant volatility). You will then value European Call and Put options for the following inputs:
S_0=50:150 in increments of 1
X=100
r=.05
σ=.20
T=1,0.5,.0001
Using the above inputs, plot the value of the European Call and Put options (two separate graphs) for the range of stock prices and times to expiration. Briefly discuss what you see and how the values comport with the Black-Scholes model and your knowledge of option values.
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