Question
Stock ABC trades for $60 and has a 1-year call and put options written on it with an exercise price of $65. The annual standard
Stock ABC trades for $60 and has a 1-year call and put options written on it with an exercise price of $65. The annual standard deviation estimate is 10% and the continuously compounded risk-free rate is 5%. The value of the call is $1.62. The value of the put on ABC stock is closest to: (Use the BSM Model, BlackScholesMertonBinomial10e, or the Put-Call Parity) A. $1.16 B. $3.45 C. $5.81 D. $6.12
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Succeeding in Business with Microsoft Excel 2013 A Problem Solving Approach
Authors: Debra Gross, Frank Akaiwa, Karleen Nordquist
1st edition
978-1285099149, 9781285963969, 1285099141, 1285963962, 978-1285715346
