3. Using the Black Scholes formula, determine the price of an 180-day European call option on a Bitcoin stock with a strike price of $10,000 when the current stock price is $9,355.025, the risk-free interest rate is 2.25% per annum, and the volatility is 36.87% per annum. [4 marks]
3. Using the Black Scholes formula, determine the price of an 180-day European call option on a Bitcoin stock with a strike price of $10,000 when the current stock price is $9,355.025, the risk-free interest rate is 2.25% per annum, and the volatility is 36.87% per annum. [4 marks]
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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Question
![3. Using the Black Scholes formula, determine the price of an 180-day European call
option on a Bitcoin stock with a strike price of $10,000 when the current stock price is
$9,355.025, the risk-free interest rate is 2.25% per annum, and the volatility is 36.87%
per annum. [4 marks]](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F0c1592fc-fff6-4922-9818-94277cd96f18%2F8f586f27-91c6-474d-aa69-fa737cd7878d%2Fatelfmj_processed.jpeg&w=3840&q=75)
Transcribed Image Text:3. Using the Black Scholes formula, determine the price of an 180-day European call
option on a Bitcoin stock with a strike price of $10,000 when the current stock price is
$9,355.025, the risk-free interest rate is 2.25% per annum, and the volatility is 36.87%
per annum. [4 marks]
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