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
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Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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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

  1. What is the value of d1 that should be used in calculating the value of a call option?
  2. What is the value of d2 that should be used in calculating the value of a call option?
  3. Assume that N() is 0.6310 and N() is 0.5074. Compute the value of the call option.
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