A call option has an exercise price of $65 and matures in 5 months. The current stock price is $73, and the risk-free rate is 6 percent per year, compounded continuously. What is the price of the call if the standard deviation of the stock is O percent

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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Ll.9.

 

A call option has an exercise price of
$65 and matures in 5 months. The
current stock price is $73, and the
risk-free rate is 6 percent per year,
compounded continuously. What is
the price of the call if the standard
deviation of the stock is 0 percent
per year? (Do not round
intermediate calculations. Round
your answer to 2 decimal places.)
Transcribed Image Text:A call option has an exercise price of $65 and matures in 5 months. The current stock price is $73, and the risk-free rate is 6 percent per year, compounded continuously. What is the price of the call if the standard deviation of the stock is 0 percent per year? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
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