Question
The following information is given about options on the stock of a certain company. Briefly discuss. S 0 = 23 X = 20 r c
The following information is given about options on the stock of a certain company. Briefly discuss.
S 0 = 23 X = 20
r c = 0.09 T = 0.5
s 2 = 0.15
- What value does the Black-Scholes-Merton model predict for the call?
- The price of a put on the stock is? Price of a call? Assume no dividends.
- If the company issues .70 cents dividend how does this answer compare to part a and why?
Step by Step Solution
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Step: 1
1 Using Black Scholes Merton model d1 ln S0X rc s22TsT d1 ln 2320 009 ...
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Step: 2
Step: 3
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Operations Management in the Supply Chain Decisions and Cases
Authors: Roger Schroeder, M. Johnny Rungtusanatham, Susan Goldstein
6th edition
73525243, 978-0073525242
