Question
Assume I want to find the value of a call option, given the following: Current stock price is $87 Standard deviation of the underlying stock
Assume I want to find the value of a call option, given the following:
Current stock price is $87
Standard deviation of the underlying stock return distributionis .25
Six months to expiration for the option
Tbill rate is currently at .04
If the exercise price on the option is for $85, what should I be willing to pay for the call?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Foundations of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen
16th edition
125927716X, 978-1259687969, 1259687961, 978-1259277160
