Question
An exchange call option with expiration of one year allows the owner to acquire one share of a stock A for one share of a
An exchange call option with expiration of one year allows the owner to acquire one share of a stock A for one share of a stock B. The price of the option is $2.16. Stock A pays dividends at the continuously compounded yield of 7%. Stock B pays no dividends. Stock A currently trades for $50 and stock B trades for $55. Find the value of an exchange option that allows the owner to give up one share of stock A for one share of stock B
answer is NOT 4.72
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International Finance Theory And Policy
Authors: Paul R. Krugman, Maurice Obstfeld, Marc J Melitz,
11th Edition
013451954X, 9780134519548
