Volatility, Trading, Derivatives Market, Quantitative Finance, Finance.
let’s review the following example: Let’s assume we want to price a CALL option on index XYZ (index level=100) with a strike price (k) = 100, and the only information that we have at time=0 (i.e., today) is that the value at expiry could be one of the following: 80, 90, 100, 110, 120. let’s also