Question
A non-divided paying stock sells for $110. A call on the stock has an exercise price of $105 and expires in 6 months. If the
A non-divided paying stock sells for $110. A call on the stock has an exercise price of $105 and expires in 6 months. If the annual interest rate is 11% (.11) and the annual standard deviation of the stock's returns in 25% (.25).
What is the price of an European call and put option according to the Black-Scholes-Merton option pricing model?
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Finance For Executives Managing For Value Creation
Authors: Gabriel Hawawini, Claude Viallet
6th Edition
1473749247, 9781473749245
