When the non-dividend paying stock price is $20, the strike price is $20, the risk-free rate is 5%, the volatility is 20% and the time to maturity is 3 months which of the following is the price of a European put option on the stock? N(.) denotes standard normal distribution values. 20N(-0.1)-20N(-0.2) 20N(-0.2)-20N(-0.1) 19.7N(-0.2)-20N(-0.1) None of these 19.7N(-0.1)-20N(-0.2)

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
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When the non-dividend paying stock price is $20, the strike price is $20, the risk-free
rate is 5%, the volatility is 20% and the time to maturity is 3 months which of the
following is the price of a European put option on the stock?
N(.) denotes standard normal distribution values.
O 20N(-0.1)-20N(-0.2)
20N(-0.2)-20N(-0.1)
O 19.7N(-0.2)-20N(-0.1)
O None of these
O 19.7N(-0.1)-20N (-0.2)
Transcribed Image Text:When the non-dividend paying stock price is $20, the strike price is $20, the risk-free rate is 5%, the volatility is 20% and the time to maturity is 3 months which of the following is the price of a European put option on the stock? N(.) denotes standard normal distribution values. O 20N(-0.1)-20N(-0.2) 20N(-0.2)-20N(-0.1) O 19.7N(-0.2)-20N(-0.1) O None of these O 19.7N(-0.1)-20N (-0.2)
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