Consider the following information for an individual stock Current share price is $30 Risk-free rate is 5% pa compounded continuously Volatility of the stock returns (σ) is 30% pa Strike price is $28 Time to maturity of the option is 12 months The firm is expected to pay no dividends over the next 1 year. Use the closed-form Black-Scholes model to price the European call option with the above characteristics 3.67 5.32 9.81 None of the above
Consider the following information for an individual stock Current share price is $30 Risk-free rate is 5% pa compounded continuously Volatility of the stock returns (σ) is 30% pa Strike price is $28 Time to maturity of the option is 12 months The firm is expected to pay no dividends over the next 1 year. Use the closed-form Black-Scholes model to price the European call option with the above characteristics 3.67 5.32 9.81 None of the above
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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Question
Consider the following information for an individual stock
- Current share price is $30
- Risk-free rate is 5% pa compounded continuously
- Volatility of the stock returns (σ) is 30% pa
- Strike price is $28
- Time to maturity of the option is 12 months
- The firm is expected to pay no dividends over the next 1 year.
Use the closed-form Black-Scholes model to price the European call option with the above characteristics
|
3.67 |
||
|
5.32 |
||
|
9.81 |
||
|
None of the above |
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