Question
A stock index currently stands at 300 and has a volatility of 20%. The risk-free interest rate is 8% and the dividend yield on the
A stock index currently stands at 300 and has a volatility of 20%. The risk-free interest rate is 8% and the dividend yield on the index is 3%.
a)use the Black-Scholes to value a six-month European put option with a stike price of 300.
b)use the Black-Scholes to value a one-year European call option with a stike price of 325.
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Forecasting Principles And Practice
Authors: Rob J Hyndman, George Athanasopoulos
1st Edition
0987507109, 978-0987507105
