Question
Consider a 1-year option with exercise price $135 on a stock with annual standard deviation 10%. The T-bill rate is 3% per year. Find N
Consider a 1-year option with exercise price $135 on a stock with annual standard deviation 10%. The T-bill rate is 3% per year. Find N(d1) for stock prices $130, $135, and $140. (Do not round intermediate calculations. Round your answers to 4 decimal places.)
| S | N(d1) |
| $130 | |
| $135 | |
| $140 |
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Finance Introduction To Institutions Investments And Management
Authors: Ronald W. Melicher, Edgar A. Norton
11th Edition
0470004460, 978-0470004463
