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
Financial Management: Theory & Practice
16th Edition
ISBN:9781337909730
Author:Brigham
Publisher:Brigham
Chapter6: Risk And Return
Section: Chapter Questions
Problem 14P: You have observed the following returns over time:
Assume that the risk-free rate is 6% and the...
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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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