Question
Macquarie Groups stock price is $160 and could halve or double in each six-month period (equivalent to a standard deviation of 98%). A one-year call
Macquarie Groups stock price is $160 and could halve or double in each six-month period (equivalent to a standard deviation of 98%). A one-year call option on the Macquarie Group has an exercise price of $120. The interest rate is 3.5% a year.
- What is the value of the Macquarie Groups call?
- Suppose that you have an option that allows you to sell Macquarie Group stock in month 6 for $120 or to buy it in month 12 for $120. What is the value of this option?
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Sustainable Value Creation An Inevitable Challenge To Business And Society
Authors: Teun Wolters
1st Edition
3031353501, 978-3031353505
