Question
A call option has an exercise price of $40 and matures in six months. The current stock price is $46, and the risk-free rate is
| A call option has an exercise price of $40 and matures in six months. The current stock price is $46, and the risk-free rate is 4 percent per year, compounded continuously. What is the price of the call if the standard deviation of the stock is 0 percent per year? |
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Handbook Of The Equity Risk Premium
Authors: Rajnish Mehra
1st Edition
0444508996, 978-0444508997
