ssume that you have given the following information on CAB stock: Current price: ₱50 Variance: 0.20 Strike Price: ₱48 Risk-free rate: 3% per annum Maturity: 6 months e = 2.7183 What is the value of d1 that should be used in calculating the value of a call option? What is the value of d2 that should be used in calculating the value of a call option? Assume that N() is 0.6310 and N() is 0.507
ssume that you have given the following information on CAB stock: Current price: ₱50 Variance: 0.20 Strike Price: ₱48 Risk-free rate: 3% per annum Maturity: 6 months e = 2.7183 What is the value of d1 that should be used in calculating the value of a call option? What is the value of d2 that should be used in calculating the value of a call option? Assume that N() is 0.6310 and N() is 0.507
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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Assume that you have given the following information on CAB stock:
Current price: ₱50 Variance: 0.20
Strike Price: ₱48 Risk-free rate: 3% per annum
Maturity: 6 months e = 2.7183
- What is the value of d1 that should be used in calculating the value of a call option?
- What is the value of d2 that should be used in calculating the value of a call option?
- Assume that N() is 0.6310 and N() is 0.5074. Compute the value of the call option.
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