Question
1)The spot price is 100. The exercise price on a one year call is 95. The standard deviation of the spot is 20%. The risk
1)The spot price is 100. The exercise price on a one year call is 95. The standard deviation of the spot is 20%. The risk free rate is 4%. 2)Find the intrinsic value, time value and premium for this call. Please show work!!
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Advanced Modelling In Mathematical Finance
Authors: Jan Kallsen, Antonis Papapantoleon
1st Edition
3319458736, 978-3319458731
