BlackScholes The spot price of XYZ plc is 394.5p, with a standard deviation of 20 per cent.

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Black—Scholes The spot price of XYZ plc is 394.5p, with a standard deviation of 20 per cent. A call option on the stock expires in 219 days, and it has a strike price of 400p, with a quoted price of 18p.The risk-free rate is 1 per cent.

(a) Find the Black–Scholes value of the call.

(b) Why does the Black–Scholes value not match the quoted price of the call?

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Fundamentals Of Corporate Finance

ISBN: 9780077178239

3rd Edition

Authors: David Hillier, Iain Clacher, Stephen A. Ross

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Question Posted: Jul 08, 2024 09:02 AM

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BlackScholes The spot price of XYZ plc is 394.5p, with a standard deviation of 20 per cent.

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Fundamentals Of Corporate Finance

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