Question
A European put option on ENRON stock has a strike price $110.0 and matures in 11.0 months. The continuously compounded risk-free rate is 6.0 percent
A European put option on ENRON stock has a strike price $110.0 and matures in 11.0 months. The continuously compounded risk-free rate is 6.0 percent per year. If the price of ENRON stock goes to zero, what is the value of the put option?
The answer is: 104.11
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The Handbook Of Sentiment Analysis In Finance
Authors: Gautam Mitra, Xiang Yu
1st Edition
1910571571, 978-1910571576
