Question
Given the following parameters use risk-neutral valuation to value a call option. Current stock price:$85.00Stock will increase or decrease next year by:15 pct.Call Option strike
Given the following parameters use risk-neutral valuation to value a call option.
Current stock price:$85.00Stock will increase or decrease next year by:15 pct.Call Option strike price:$82.00Time to expiration:1 yearRisk free rate:8 pct.
What's the answer?
Value of call: $11.18
Value of call: $9.07
Value of call: $14.58
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Management Science The Art Of Modeling With Spreadsheets
Authors: Stephen G. Powell, Kenneth R. Baker
3rd Edition
0470530677, 978-0470530672
