Recalculate the value of the call option in Problem 11, successively substituting one of the changes below
Question:
Recalculate the value of the call option in Problem 11, successively substituting one of the changes below while keeping the other parameters as in Problem 11:
a. Time to expiration = 3 months.
b. Standard deviation = 25% per year.
c. Exercise price = $55.
d. Stock price = $55.
e. Interest rate = 5%.
Consider each scenario independently. Confirm that the option value changes in agreement with the prediction of Table 21.1. p-69
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Related Book For
ISE Investments
ISBN: 9781266085963
13th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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