Question
A European call option on Amazon stock (AMZN) has a strike price of $96 and matures in a month. AMZN pays no dividends and currently
A European call option on Amazon stock (AMZN) has a strike price of $96 and matures in a month. AMZN pays no dividends and currently sells for $94 per share. The risk-free interest rate is 3% annually, and the annual volatility of the stock return is 28%. What is the Black-Scholes value of the AMZN call option?
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Understanding Financial Accounting
Authors: Christopher Burnley, Robert Hoskin, Maureen Fizzell, Donald
1st Canadian Edition
978-1118849385
