You are evaluating a put option based on the following information: P = Ke-#.N(-d,) – S-N(-d,) Stock price, So Exercise price, k = RM 11 = RM 10 = 0.10 Maturity, T = 90 days = 0.25 Standard deviation, o = 0.5 Interest rate, r Calculate the fair value of the put based on Black-Scholes pricing model. Cumulative normal distribution table is provided at the back.
You are evaluating a put option based on the following information: P = Ke-#.N(-d,) – S-N(-d,) Stock price, So Exercise price, k = RM 11 = RM 10 = 0.10 Maturity, T = 90 days = 0.25 Standard deviation, o = 0.5 Interest rate, r Calculate the fair value of the put based on Black-Scholes pricing model. Cumulative normal distribution table is provided at the back.
Financial Management: Theory & Practice
16th Edition
ISBN:9781337909730
Author:Brigham
Publisher:Brigham
Chapter8: Financial Options And Applications In Corporate Finance
Section: Chapter Questions
Problem 5MC: In 1973, Fischer Black and Myron Scholes developed the Black-Scholes option pricing model (OPM). (1)...
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![You are evaluating a put option based on the following information:
P = Ke-H•N(-d,) – S-N(-d,)
Stock price, So
Exercise price, k
= RM 11
= RM 10
= 0.10
Maturity, T= 90 days = 0.25
Standard deviation, o = 0.5
Interest rate, r
Calculate the fair value of the put based on Black-Scholes pricing model. Cumulative
normal distribution table is provided at the back.](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Ffc10a443-18de-4930-9932-c3c4984a615c%2F8430b333-baa9-4bc3-afe1-c45a0015b4b0%2F696b46j_processed.png&w=3840&q=75)
Transcribed Image Text:You are evaluating a put option based on the following information:
P = Ke-H•N(-d,) – S-N(-d,)
Stock price, So
Exercise price, k
= RM 11
= RM 10
= 0.10
Maturity, T= 90 days = 0.25
Standard deviation, o = 0.5
Interest rate, r
Calculate the fair value of the put based on Black-Scholes pricing model. Cumulative
normal distribution table is provided at the back.
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