Question
Spot price of the stock=26.64 Strike price=26.64 Monthly stock volatility=10.681% No dividends Maturity=3 years Risk-free rate=2.28% Solve the European call option price using BSM model.
Spot price of the stock=26.64
Strike price=26.64
Monthly stock volatility=10.681%
No dividends
Maturity=3 years
Risk-free rate=2.28%
Solve the European call option price using BSM model. More specifically, how do you get the annualised stock volatility?
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The Oxford Guide To Financial Modeling
Authors: Thomas S Y Ho, Sang Bin Lee
1st Edition
019516962X, 9780195169621
