AdvancedMultiple choice
Adding jumps to a diffusion model mainly changes the prices of which options?
- ALong-dated at-the-money options, since jumps accumulate over many years
- BShort-dated out-of-the-money options
- CDeep in-the-money options of any maturity, because their deltas are close to one
- DNone, because a delta-hedged portfolio is immune to jumps
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