Question
Consider a European put option (put, p) on a stock that does not pay dividends. The current price for the share (0) is 40 and
Consider a European put option ("put", p) on a stock that does not pay dividends. The current price for the share (0) is 40 and the option has an exercise price (strike, K) equal to 37. The risk-free interest rate is 5% p.a.continuous and the share has a volatility equal to 30%. Time to lapse is three months
Show that the value of the put option is 0,96?
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Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes, Arshad Ahmad, Jordan Fortino
6th Canadian edition
1259453146, 978-1259453144
