10. On March 1 the price of a share of IBM stock is $95. Use the Black-Scholes Model to find the price of a call option on IBM stock with an expiration date of August 15, and an exercise price of $91. Assume the continuously compounded risk-free rate is r-6%, and the standard deviation of IBM stock returns is a = 0.4.
10. On March 1 the price of a share of IBM stock is $95. Use the Black-Scholes Model to find the price of a call option on IBM stock with an expiration date of August 15, and an exercise price of $91. Assume the continuously compounded risk-free rate is r-6%, and the standard deviation of IBM stock returns is a = 0.4.
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Subject : Finance
Transcribed Image Text:10. On March 1 the price of a share of IBM stock is $95. Use the Black-Scholes Model to find
the price of a call option on IBM stock with an expiration date of August 15, and an
exercise price of $91. Assume the continuously compounded risk-free rate is r-6%, and
the standard deviation of IBM stock returns is a = 0.4.
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