BlackScholes A call option matures in 6 months. The underlying share price is 85, and the shares
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Black—Scholes A call option matures in 6 months. The underlying share price is £85, and the share’s return has a standard deviation of 20 per cent per year. The risk-free rate is 4 per cent per year, compounded continuously. If the exercise price is £0, what is the price of the call option?
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Related Book For 
Fundamentals Of Corporate Finance
ISBN: 9780077178239
3rd Edition
Authors: David Hillier, Iain Clacher, Stephen A. Ross
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