Consider a European call and a European put with the same strike price and time to
Chapter 20, Problem 20.24(choose chapter or problem)
Consider a European call and a European put with the same strike price and time to maturity. Show that they change in value by the same amount when the volatility increases from a level 1 to a new level 2 within a short period of time. (Hint: Use putcall parity.) V
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