What is the value of d, of a European call option on a non-dividend-paying stock when the stock price is $600, the strike price is $59, the risk-free interest rate is 5% per annum, the volatility (Standard Deviation) is 30% per annum, and the time to maturity is three months? e=SN(d)-k -KeN(d) where 4,- and OA02704 OB.0.2167 OCD.3561 OD.0.1204 √T "√T
What is the value of d, of a European call option on a non-dividend-paying stock when the stock price is $600, the strike price is $59, the risk-free interest rate is 5% per annum, the volatility (Standard Deviation) is 30% per annum, and the time to maturity is three months? e=SN(d)-k -KeN(d) where 4,- and OA02704 OB.0.2167 OCD.3561 OD.0.1204 √T "√T
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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Transcribed Image Text:What is the value of d, of a European call option on a non-dividend-paying stock when the stock price is $60, the strike price is $59, the risk-free interest rate is 5% per annum
the volatility (Standard Deviation) is 30% per annum, and the time to maturity is three months?
c=SN(d,)-Ke-N(₂)
where
and
O√T
OA02704
OB0.2167
*√T
OC.0.3561
OD.0.1204
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