Question
Roslin Robotics stock has a volatility of 31% and a current stock price of $62 per share. Roslin pays no dividends. The risk-free interest is
Roslin Robotics stock has a volatility of 31% and a current stock price of $62 per share. Roslin pays no dividends. The risk-free interest is 5%. Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock. Harbin Manufacturing has 10 million shares outstanding with a current share price of $24.13 per share. In one year, the share price is equally likely to be $32 or $19. The risk-free interest rate is 6%. a. What is the expected return on Harbin stock? b. What is the risk-neutral probability that Harbin's stock price will increase?
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