Question
Consider a 1-year option with exercise price $115 on a stock with annual standard deviation 10%. The T-bill rate is 2% per year. Find N(d1)
Consider a 1-year option with exercise price $115 on a stock with annual standard deviation 10%. The T-bill rate is 2% per year. Find N(d1) for stock prices (a) $110, (b) $115, and (c) $120. (Do not round intermediate calculations. Round your answers to 4 decimal places.)
| S | N(d1) |
| $110 | |
| $115 | |
| $120 |
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Public Finance In Canada
Authors: Harvey S. Rosen, Wen, Snoddon
4th Canadian Edition
0070071837, 978-0070071834
