Question
A call option has a strike price of $26, and a time to expiration of 1.0 in years. If the stock is trading for $32,
A call option has a strike price of $26, and a time to expiration of 1.0 in years. If the stock is trading for $32, N(d1) = 0.53, N(d2) = 0.42, and the risk free rate is 1.39%, what is the value of the call option?
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Elements Of Financial Risk Management
Authors: Peter Christoffersen
2nd Edition
0128102357, 9780128102350
