A non-dividend paying stock is selling for $52.50. The standard deviation of its returns is 45% p.a. The risk free rate is 4% p.a. (a) What is the value of a call with 6 months to expiry and a strike price of $50? Calculate your answer based on this input table. Inputs Standard Deviation (annual) 45% Maturity (in years) 0,50 Risk-Free Rate (annual) 4% Exercise Price $50,00 Dividend Yield (annual) 0 Stock Price=$52.50 $52,50 d1 is: 0,375286
A non-dividend paying stock is selling for $52.50. The standard deviation of its returns is 45% p.a. The risk free rate is 4% p.a. (a) What is the value of a call with 6 months to expiry and a strike price of $50? Calculate your answer based on this input table. Inputs Standard Deviation (annual) 45% Maturity (in years) 0,50 Risk-Free Rate (annual) 4% Exercise Price $50,00 Dividend Yield (annual) 0 Stock Price=$52.50 $52,50 d1 is: 0,375286
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 14P
Related questions
Question
A non-dividend paying stock is selling for $52.50. | |||
The standard deviation of its returns is 45% p.a. | |||
The risk free rate is 4% p.a. | |||
(a) What is the value of a call with 6 months to expiry and a strike price of $50? | |||
Calculate your answer based on this input table. | |||
Inputs | |||
Standard Deviation (annual) | 45% | ||
Maturity (in years) | 0,50 | ||
Risk-Free Rate (annual) | 4% | ||
Exercise Price | $50,00 | ||
Dividend Yield (annual) | 0 | ||
Stock Price=$52.50 | $52,50 | ||
d1 is: | 0,375286 |
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