Question
SleazeCo. stock is currently valued at $40 per share.The volatility of SleazeCo. equity is 30 percent per year and the continuously compound risk-free rate is
SleazeCo. stock is currently valued at $40 per share.The volatility of SleazeCo. equity is 30 percent per year and the continuously compound risk-free rate is 1 percent per year.
What is the Black/Scholes value of a European put option written on SleazeCo stock that has an exercise price of $35 and expires in a half a year (T = .5)?
Put value = _______________________.
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Management Science The Art Of Modeling With Spreadsheets
Authors: Stephen G. Powell, Kenneth R. Baker
3rd Edition
0470530677, 978-0470530672
