Determine the value of such an option using Black & Scholes option valuation.

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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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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