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A stock is currently $117.47 and will move either up to 143.14 or down to 105.22 at the end of 9 months. If the
A stock is currently $117.47 and will move either up to 143.14 or down to 105.22 at the end of 9 months. If the risk-free rate is 3.65% per annum and the strike price is $ 105.29, what is the value of a European call option in a risk neutral world?
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Call Option Value S Nd1 X ert Nd2 Where S Current stock price N Cumulative standard normal distribut...
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
