been given the following information on Claiborne Industries: Current stock price = $32 Option’s exercise price = $32 d1 = 0.1735 d2 = 0.02735 N(d)1 = 0.56960 N(d)2 = 0.51091 Time until expiration of option = 3 months, or 0.25 of a year Risk-free rate = 6% Variance of stock price = 0.09 Using the Black-Scholes Option Pricing Model, what would be the option’s value? Round intermediate calculations to 6 decimal places. Round your answer to
been given the following information on Claiborne Industries: Current stock price = $32 Option’s exercise price = $32 d1 = 0.1735 d2 = 0.02735 N(d)1 = 0.56960 N(d)2 = 0.51091 Time until expiration of option = 3 months, or 0.25 of a year Risk-free rate = 6% Variance of stock price = 0.09 Using the Black-Scholes Option Pricing Model, what would be the option’s value? Round intermediate calculations to 6 decimal places. Round your answer to
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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You have been given the following information on Claiborne Industries:
Current stock price = $32
Option’s exercise price = $32
d1 = 0.1735
d2 = 0.02735
N(d)1 = 0.56960
N(d)2 = 0.51091
Time until expiration of option = 3 months, or 0.25 of a year
Risk-free rate = 6%
Variance of stock price = 0.09
Using the Black-Scholes Option Pricing Model, what would be the option’s value? Round intermediate calculations to 6 decimal places. Round your answer to two decimal places.
$
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