Question
A stock trades for $43 per share. A call option on that stock has a strike price of $55 and an expiration date twelve months
A stock trades for $43 per share. A call option on that stock has a strike price of $55 and an expiration date twelve months in the future. The volatility of the stock's returns is 42%, and the risk-free rate is 3%. What is the Black and Scholes value of this option?
The Black and Scholes value of this call option is $___?
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Financial Informatics An Information Based Approach To Asset Pricing
Authors: Dorje C Brody, Lane Palmer Hughston, Andrea Macrina
1st Edition
9811246483, 978-9811246487
