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
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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]
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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