Question
Calculate the theoretical Black-Scholes price for the following European call option: S0 = $51; X = $52; T = 6 days; rf = 1% p.a.;
Calculate the theoretical Black-Scholes price for the following European call option: S0 = $51; X = $52; T = 6 days; rf = 1% p.a.; = 25% Would the price of an equivalent option with 180 days to expiration be higher or lower? You should know the answer to this before calculating it! What would happen the price of the option if the volatility was lower? You should know the answer to this before calculating it.?
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Finance For Growing Enterprises
Authors: Edward W. Davis, Roger Buckland
1st Edition
1138679941, 978-1138679948
