(b) Bintai Kinden Corporation is currently offering a European call option to its existing investors, a common share with non-dividend payment. This call option has RM26 exercise price with 6 months to maturity. Bintail Kinden Corporation's share is trading at RM30 per share and the volatility is stated at 8 percent per year. Calculate the price of call option by using Black-Scholes Option Pricing Model if the Malaysia Government Bill (MGB) has a compounded interest of 10 percent annually.
(b) Bintai Kinden Corporation is currently offering a European call option to its existing investors, a common share with non-dividend payment. This call option has RM26 exercise price with 6 months to maturity. Bintail Kinden Corporation's share is trading at RM30 per share and the volatility is stated at 8 percent per year. Calculate the price of call option by using Black-Scholes Option Pricing Model if the Malaysia Government Bill (MGB) has a compounded interest of 10 percent annually.
Chapter11: Managing Transaction Exposure
Section: Chapter Questions
Problem 6ST
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