Assume a stock price of $30.25, risk-free rate of 1 percent, standard deviation of 40 percent, N(d1) value of 0.7976, and an N(d2) value of 0.7089. What is the value of a six-month put with a strike price of $25 given the Black-Scholes option pricing model (rounded to the nearest cent)? O $6.49 O $0.83 O $2.43 O $1.12 O None of the above are correct.

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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Assume a stock price of $30.25, risk-free rate of 1 percent, standard deviation of 40 percent,
N(d1) value of 0.7976, and an N(d2) value of 0.7089. What is the value of a six-month put
with a strike price of $25 given the Black-Scholes option pricing model (rounded to the
nearest cent)?
$6.49
$0.83
$2.43
$1.12
None of the above are correct.
Transcribed Image Text:Assume a stock price of $30.25, risk-free rate of 1 percent, standard deviation of 40 percent, N(d1) value of 0.7976, and an N(d2) value of 0.7089. What is the value of a six-month put with a strike price of $25 given the Black-Scholes option pricing model (rounded to the nearest cent)? $6.49 $0.83 $2.43 $1.12 None of the above are correct.
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