of directors of X Ltd has decided to grant at-the-money European call options on the company’s stock to its CEO, which is currently trading at $50 per share. The stock pays no dividends. The options will expire in 4 years, and the standard deviation of the returns on the stock is 55%. Treasury bills that mature in 4 years currently yield a continuously compounded interest rate of 5%. Compute the price of option using excel and share the formula template.
of directors of X Ltd has decided to grant at-the-money European call options on the company’s stock to its CEO, which is currently trading at $50 per share. The stock pays no dividends. The options will expire in 4 years, and the standard deviation of the returns on the stock is 55%. Treasury bills that mature in 4 years currently yield a continuously compounded interest rate of 5%. Compute the price of option using excel and share the formula template.
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 board of directors of X Ltd has decided to grant at-the-money European call options on the company’s stock to its CEO, which is currently trading at $50 per share. The stock pays no dividends. The options will expire in 4 years, and the standard deviation of the returns on the stock is 55%. Treasury bills that mature in 4 years currently yield a continuously
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