The following is an example of the use of the BlackScholes option pricing formula: Solve for C.

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The following is an example of the use of the Black–Scholes option pricing formula: Solve for C. Assume

S = $40

E = $45

r = 0.10

t = 0.5 (6 months)

σ = 0.45

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Investments Analysis And Management

ISBN: 9781118975589

13th Edition

Authors: Charles P. Jones, Gerald R. Jensen

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Question Posted: Dec 28, 2023 12:20 PM

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The following is an example of the use of the BlackScholes option pricing formula: Solve for C.

Question:

d₁ In(40/45) + [0.10+0.5(0.45)²10.5 0.45 [(0.5) ¹/2] -0.1178 +0.1006 0.3182 = -0.054

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To solve for the value of the option price C using the BlackScholes option pricing formula you can u...View the full answer

Investments Analysis And Management

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