Question
A European call option has 9 months to expiry and a strike price of $35. The underlying stock has a current price of $36 and
A European call option has 9 months to expiry and a strike price of $35. The underlying stock has a current price of $36 and volatility () of 0.25 per annum. The riskfree rate of interest is 6% per annum continuously compounded. Calculate d1 as required for the Black-Scholes model. Enter your answer to 2 decimal places.
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Creating Financial Value A Guide For Senior Executives With No Finance Background
Authors: Malcolm Allitt
1st Edition
1472922719, 978-1472922717
