Question
A Firm has a stock price of 65 and an annual standard deviation of 25%. The risk-free rate is 10% (c.c.). This firm will pay
A Firm has a stock price of 65 and an annual standard deviation of 25%. The risk-free rate is 10% (c.c.). This firm will pay a dividend of $8 in exactly 3 months and no other dividends over the next year. Price an American call written on this stock with an exercise price of $70 and a time to maturity of one year. (Using the Black Approximation)
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Analysis for Financial Management
Authors: Robert Higgins
11th edition
77861787, 978-0077861780
