Question
A stock trades for $45 per share. A call option on that stock has a strike price of $51 and an expiration date nine months
A stock trades for $45 per share. A call option on that stock has a strike price of $51 and an expiration date nine months in the future. The volatility of the stock's returns is 49%, and the risk-free rate is 33%. What is the Black and Scholes value of this option?
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Financial Markets And Institutions
Authors: Jeff Madura
6th Edition
0324162618, 978-0324162615
