Question
A non-dividend-paying stock currently sells for $50. The stock's volatility is 25%. A three-year European call option on the stock has a strike price of
A non-dividend-paying stock currently sells for $50. The stock's volatility is 25%. A three-year European call option on the stock has a strike price of $55. The risk-free rate is 5%. What is the price of the option? Use the Black-Scholes-Merton formula.
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The Validation Of Risk Models
Authors: S. Scandizzo
1st Edition
1137436956, 978-1137436955
