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Given the following parameters use risk-neutral valuation to value a call option. Current stock price: $65.00 Stock will increase or decrease next year by: 15
Given the following parameters use risk-neutral valuation to value a call option.
| Current stock price: | $65.00 |
| Stock will increase or decrease next year by: | 15 pct. |
| Call Option strike price: | $60.00 |
| Time to expiration: | 1 year |
| Risk free rate: | 8 pct. |
A) Value of call: $9.44
B) Value of call: $13.66
C) Value of call: $10.47
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Money Banking And Financial Markets
Authors: Stephen G. Cecchetti
1st Edition
0072452692, 9780072452693
