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Price an option with the following information: Option European call Time to expiration 4 months Strike price $30 Underlying stock price $34 Underlying stock dividend
Price an option with the following information:
| Option | European call |
| Time to expiration | 4 months |
| Strike price | $30 |
| Underlying stock price | $34 |
| Underlying stock dividend | $2 in 2 months |
| Volatility of stock | 40% |
| Risk-free rate (per annum) | 6% |
| Pricing method | Black-Scholes formula |
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The New Finance Overreaction Complexity And Their Consequences
Authors: Robert A. Haugen
4th International Edition
0132775875, 9780132775878
