Question
A stock trades for $46 per share. A call option on that stock has a strike price of $53 and an expiration date three months
A stock trades for $46 per share. A call option on that stock has a strike price of $53 and an expiration date three months in the future. The volatility of the stock's returns is 46%, and the risk-free rate is 4%. What is the Black and Scholes value of this option?
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Financial Markets And Institutions
Authors: Jeff Madura
13th Edition
0357130790, 978-0357130797
