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A non-dividend-paying stock has a price is $20 with volatility of 20%. The continuously compounded risk-free rate is 6%. a)Use the Black-Sholes-Merton model to find
A non-dividend-paying stock has a price is $20 with volatility of 20%. The continuously compounded risk-free rate is 6%.
- a)Use the Black-Sholes-Merton model to find the price of a 12-month European call option on the stock
- with a strike price of $20.
- b)What would be the price of a 12-month American call option with the same strike price if the stock were
- expected to pay a $2 dividend in 4 months and another $2 dividend in 10 months?
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Small Business Management Launching and Growing New Ventures
Authors: Justin Longenecker, Leo Donlevy, Terri Champion, William Petty, Leslie Palich, Frank Hoy
6th Canadian edition
176532218, 978-0176532215
