Question
A European call option has 4 months to expiry and a strike price of $35. The underlying stock has a current price of $37 and
A European call option has 4 months to expiry and a strike price of $35. The underlying stock has a current price of $37 and volatility () of 0.60 per annum. The riskfree rate of interest is 4% per annum. Calculate N(d2) as required for the Black-Scholes model. Enter an answer to 4 decimal places.
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Routledge Handbook Of Social And Sustainable Finance
Authors: Othmar M. Lehner
1st Edition
1138343773, 978-1138343771
