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The current stock price of Johnson & Johnson (J&J) is $56, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of J&J's stock is 25 %. You want to purchase a put option on this stock with an exercise price of $50 and an expiration date 70 days from now. Assume 365 days in a year Using Black - Scholes, the put option should be worth today. Multiple Choice $0.36 $6.94 $6.58 $0.29

The current stock price of Johnson & Johnson (J&J) is $56, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of J&J's stock is 25 %. You want to purchase a put option on this stock with an exercise price of $50 and an expiration date 70 days from now. Assume 365 days in a year Using Black - Scholes, the put option should be worth today. Multiple Choice $0.36 $6.94 $6.58 $0.29

Essentials Of Investments
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
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The current stock price of Johnson & Johnson (J&J) is $56, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of J&J's stock is 25%. You want to purchase a put option on this stock with an exercise price of $50 and an expiration date 70 days from now. Assume 365 days in a year Using Black - Scholes, the put option should be worth today. Multiple Choice $0.36 $6.94 $6.58 $0.29
Transcribed Image Text:The current stock price of Johnson & Johnson (J&J) is $56, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of J&J's stock is 25%. You want to purchase a put option on this stock with an exercise price of $50 and an expiration date 70 days from now. Assume 365 days in a year Using Black - Scholes, the put option should be worth today. Multiple Choice $0.36 $6.94 $6.58 $0.29
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