I have repriced our biotech trade from this trade alert from earlier today:
At $3.6101 and the supplied 1.12 and 1.15 implied volatilities, one two-long/one-short unit was worth $2.21 under Black–Scholes, $2.21 under Bjerksund–Stensland and $2.21 under a Cox–Ross–Rubinstein binomial model. I raised the maximum net debit to $2.20 per unit, or $8.80 total…
