Question
) A stock currently trades at $43, and the volatility of its return is 5%. The continuously compounded rate of interest is 9%. Consider a
) A stock currently trades at $43, and the volatility of its return is 5%. The continuously compounded rate of interest is 9%. Consider a call option struck at $48, with 75 days to expiration (recall that there are 251 trading days in one year).
a) What is the price of the option (rounded to the nearest cent)?
Answer = $.
b) What is the option's delta (rounded to four decimal places)?
Answer =.
c) Use your answer from (b) to estimate the value of the option tomorrow, assuming the stock is trading at $44.35 at that time?
Answer = $.
d) What is the exact value of the option tomorrow, assuming the stock is trading at $44.35 at that time?
Answer = $.
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