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t stock price is 100. It pays 6% continuous dividend yield. Its volatility is 30%. The risk free interest rate is 3% flat. Use the closed form results from BSM theory to compute the price, delta and theta (round your numerical results to 4 decimal places) for: a) a 10 year European style call option with strike 150; b) a perpetual American style call option with strike 150; c) Φ (Greek "phi") for a derivative f is defined as its sensitivity to the changes of dividend yield q: Φ = δf / δq Compute Φ for the above two options. Please present bot

t stock price is 100. It pays 6% continuous dividend yield. Its volatility is 30%. The risk free interest rate is 3% flat. Use the closed form results from BSM theory to compute the price, delta and theta (round your numerical results to 4 decimal places) for: a) a 10 year European style call option with strike 150; b) a perpetual American style call option with strike 150; c) Φ (Greek "phi") for a derivative f is defined as its sensitivity to the changes of dividend yield q: Φ = δf / δq Compute Φ for the above two options. Please present bot

FINANCIAL ACCOUNTING
FINANCIAL ACCOUNTING
10th Edition
ISBN:9781259964947
Author:Libby
Publisher:Libby
Chapter1: Financial Statements And Business Decisions
Section: Chapter Questions
Problem 1Q
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The current stock price is 100. It pays 6% continuous dividend yield. Its volatility is 30%. The risk free interest rate is 3% flat.

Use the closed form results from BSM theory to compute the price, delta and theta (round your numerical results to 4 decimal places) for:

a) a 10 year European style call option with strike 150;

b) a perpetual American style call option with strike 150;

c) Φ (Greek "phi") for a derivative f is defined as its sensitivity to the changes of dividend yield q:

Φ = δf / δq

Compute Φ for the above two options. Please present both the analytical expressions and the numerical results.

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