Question
A non-dividend-paying stock is currently traded at $50 and the one-month simple risk-free interest rate is 1%. Based on the Black-Scholes-Merton model, a one-month European
A non-dividend-paying stock is currently traded at $50 and the one-month simple risk-free interest rate is 1%. Based on the Black-Scholes-Merton model, a one-month European call on this stock with strike $55 has a delta of 0.15 and the risk-neutral probability for the call to expire in the money is 0.12. What is the BSM price for the call?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
To calculate the BlackScholesMerton BSM price for the call option we can use the following formula B...
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Step: 2
Step: 3
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Contemporary Engineering Economics
Authors: Chan S. Park
5th edition
136118488, 978-8120342095, 8120342097, 978-0136118480
