Question
Excel Online Structured Activity: Black-Scholes Model Assume the following inputs for a call option: (1) current stock price is $29, (2) strike price is $36,
Excel Online Structured Activity: Black-Scholes Model
Assume the following inputs for a call option: (1) current stock price is $29, (2) strike price is $36, (3) time to expiration is 5 months, (4) annualized risk-free rate is 4%, and (5) variance of stock return is 0.31.
Use the Black-Scholes model to find the price for the call option. Do not round intermediate calculations. Round your answer to the nearest cent.
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Fundamentals Of Investments Valuation And Management
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
9th Edition
1260013979, 9781260013979
