Question
A stock trades for $45 per share. A call option on that stock has a strike price of $50 and an expiration date month in
A stock trades for $45 per share. A call option on that stock has a strike price of $50 and an expiration date month in the future. The volatility of the stocks returns is 30%, and the risk free rate is 2% per quarter. What is the Black and Scholes value of this option?
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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
