Question
A European put option on ENRON stock has a strike price $95.0 and matures in 5.0 months. The continuously compounded risk-free rate is 10.0 percent
A European put option on ENRON stock has a strike price $95.0 and matures in 5.0 months. The continuously compounded risk-free rate is 10.0 percent per year. If the price of ENRON stock goes to zero, what is the value of the put option?
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The Theory Of Interest
Authors: Friedrich A. Lutz
2nd Edition
1138539074,1351472836
