Question
6. What is the extrinsic value of a 55-strike put option currently trading at $10.64 on a non-dividend-paying stock currently priced at $62.79 if the
6. What is the extrinsic value of a 55-strike put option currently trading at $10.64 on a non-dividend-paying stock currently priced at $62.79 if the gamma is .06, the stock's historic volatility is 30%, the option delta is .65, and expires in 86 days?
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International Financial Management
Authors: Jeff Madura
2nd Edition
0314430296, 978-0314430298
