10. Assume the following data: Stock price = $50; Exercise price = $45; Risk-free rate = 6 percent per year; Continuously compounded variance = 0.2; Expiration = three months. Calculate the value of a European call option. (Use the Black-Scholes formula.) Options- $5.92 $7.62 $5 $7.90
10. Assume the following data: Stock price = $50; Exercise price = $45; Risk-free rate = 6 percent per year; Continuously compounded variance = 0.2; Expiration = three months. Calculate the value of a European call option. (Use the Black-Scholes formula.) Options- $5.92 $7.62 $5 $7.90
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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10. Assume the following data: Stock price = $50; Exercise price = $45; Risk-free rate = 6 percent per year; Continuously compounded variance = 0.2; Expiration = three months. Calculate the value of a European call option. (Use the Black-Scholes formula.)
Options-
$5.92
$7.62
$5
$7.90
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