A stock price is currently 50 and after 6-months it can be either 60 or 42. The risk-free rate is 12% (continuous compounding). The no-arbitrage price of a 6-month european call option written on this stock with strike 50 is (a) 2.89 (b) 3.61 (c) 4.64 (d) 5.80 (e) 6.96
A stock price is currently 50 and after 6-months it can be either 60 or 42. The risk-free rate is 12% (continuous compounding). The no-arbitrage price of a 6-month european call option written on this stock with strike 50 is (a) 2.89 (b) 3.61 (c) 4.64 (d) 5.80 (e) 6.96
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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A stock price is currently 50 and after 6-months it can be either 60 or 42. The risk-free rate is 12% (continuous compounding). The no-arbitrage price of a 6-month european call option written on this stock with strike 50 is
(a) 2.89 (b) 3.61 (c) 4.64 (d) 5.80 (e) 6.96
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