Question
OPTIONS: Use the Black-Scholes formula to find the value of the following PUT option. (a) Time to expiration 1 year (b) Standard deviation 20% per
OPTIONS: Use the Black-Scholes formula to find the value of the following PUT option.
(a) Time to expiration 1 year
(b) Standard deviation 20% per year
(c) Exercise price $100
(d) Stock price $100
(e) Interest rate 3%
Formula for PUT option:
p = PV(K) N(-d2 )-SN(-d1 )
PLEASE SHOW THE SOLUTION AND ANSWERS.
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Cases In Healthcare Finance
Authors: Louis C. Gapenski, George H. Pink
4th Edition
1567933424, 978-1567933420
