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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The shares of ABC Ltd are currently selling at Shs.290 each at the stock exchange. The exercise price for a 6months call option is Shs260.The prevailing risk free rate is 12%.The variance of ABC ltd share price has been 15%. Required -Determine the value of such an option using Black & Scholes option valuation.
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