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Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend 6 months 57% per year $44 $44 2% a

Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend 6 months 57% per year $44 $44 2% a

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
Problem 1PS
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Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend Recalculate the value of the call with the following changes: a. Time to expiration b. Standard deviation Exercise price Stock price Interest rate C. d. e. C falls to C falls to C. C falls to d. C rises to C rises to 6 months 57% per year $44 $44 2% 0 Select each scenario independently. (Round your answers to 2 decimal places.) Value of the Call Option a. b. e. 3 months 30% per year $49 $49 4%
Transcribed Image Text:Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend Recalculate the value of the call with the following changes: a. Time to expiration b. Standard deviation Exercise price Stock price Interest rate C. d. e. C falls to C falls to C. C falls to d. C rises to C rises to 6 months 57% per year $44 $44 2% 0 Select each scenario independently. (Round your answers to 2 decimal places.) Value of the Call Option a. b. e. 3 months 30% per year $49 $49 4%
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