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.
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.
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 5MC: In 1973, Fischer Black and Myron Scholes developed the Black-Scholes option pricing model...
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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.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F031d554c-a0be-4605-ad67-4a3ae6f6062d%2Fbbd31e7e-5b57-4912-aee2-8b5e8b8dcd86%2Fpxlpp5k_processed.jpeg&w=3840&q=75)
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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