21 May HOW WOULD YOU USE THIS TO ESTIMATE THE VALUE OF LIMIT ORDERS?
Suppose a stock is trading at $80 and has an annualized volatility of 0.4. Money may be
borrowed to any tenor at 4% annualized.
(a) What is the Black-Scholes value of such a call struck at 81 maturing in: One hour? Four
hours? Two days? A week? A month?
(b) How would you use this to estimate the value of limit orders?
(c)How should this affect the limit order book?
(d)Can you think of reasons why GTC orders exist versus writing options?
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