Chapter 03 · Section 3.1

Distribution

The first distribution (green line) is used for the calculation of the fair value of a call with a strike of 40 and an underlying currently at 45.

Which of the two other distributions corresponds to an underlying currently at 35

a) The flat, yellow, curve
• b) The pink, left shifted curve
  Yes. The curve (b) has the same dispersion as the original one, but it is centered around an underlying value of 35. Continue

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