BlackScholes Xstrata plc is currently priced at 10.52. A call option with an expiration of 6 months
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Black—Scholes Xstrata plc is currently priced at £10.52.
A call option with an expiration of 6 months has an exercise price of £9.00. The risk-free rate is 3 per cent per year, compounded continuously, and the standard deviation of the equity’s return is infinitely large. 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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