Question
Required: Use the Black-Scholes formula to find the value of a call option based on the following inputs. Refer Cumulative normal distribution Table. (Do not
Required:
Use the Black-Scholes formula to find the value of a call option based on the following inputs. Refer Cumulative normal distribution Table. (Do not round intermediate calculations. Round your final answer to 2 decimal places.)
| Stock price | $ 64 |
|---|---|
| Exercise price | $ 70 |
| Interest rate | 8% |
| Dividend yield | 4% |
| Time to expiration | 0.5 |
| Standard deviation of stocks returns | 26% |
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The Analysis And Use Of Financial Statements
Authors: Gerald I. White, Ashwinpaul C. Sondhi, Haim D. Fried
3rd Edition
0471375942, 978-0471375944
