2. 14. BlackScholes [LO 25.2] A call option has an exercise price of $60 and matures in...

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2. 14.

Black–Scholes [LO 25.2] A call option has an exercise price of $60 and matures in six months. The current share price is $64 and the riskfree rate is 5 per cent per year, compounded continuously. What is the price of the call if the standard deviation of the shares is 0 per cent per year?

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Fundamentals Of Corporate Finance

ISBN: 9781743768051

8th Edition

Authors: Stephen A. Ross, Rowan Trayler, Charles Koh, Gerhard Hambusch, Kristoffer Glover, Randolph W. Westerfield, Bradford D. Jordan

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