... letter) sigma , the higher the interest rate r, the longer the time until the call date t and the lower the strike price L, the higher the value of the option Cwill be.Limitations of the ModelAs ... (the first term) on the right- handside, and the expected cost (the second term) if the option is exercised. The higher the current share price S, the higher the volatility of the share price(Greek ... by10making another move in the opposite direction. Their aim was to keep the overall value of the portfolio in perfect balance. In other words, they tried tominimize risk. They discovered that they...