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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International Financial Management
Authors: Cheol Eun, Bruce Resnick
5thEdition
0073382345, 9780073382340
