Question
Assume the Black-Scholes setting. Todays price of a non-dividend-paying stock is $65, and its volatility is 0.20. The continuously compounded risk-free interest rate is 0.055.
Assume the Black-Scholes setting. Todays price of a non-dividend-paying stock is $65, and its volatility is 0.20. The continuously compounded risk-free interest rate is 0.055. What is the price of a three-month, $60-strike European put option on the above stock? [(0.89)=0.8133 and (0.99)=0.8389.]
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Cost Of Capital Applications And Examples
Authors: Shannon P. Pratt, Roger J. Grabowski, Richard A. Brealey
5th Edition
1118555805, 9781118555804
