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What is the covariance of two stock prices that follows the Black-Scholes model?
Can you tell me what is the covariance of two stock prices that follows the Black-Scholes model?
The Black-Scholes model is used to calculate the theoretical price for an option. It doesn't provide the covariance of two stock prices directly. However, the option price is affected by the covariance between the stock prices. Is there anything else you want to know about the Black-Scholes model?