Question
stock price right now S0 = $100; X1 = $95, X2 = $115; annualized risk free rate at 2%; volatility of the stock = 0.18;
stock price right now S0 = $100; X1 = $95, X2 = $115; annualized risk free rate at 2%; volatility of the stock = 0.18; T equals to 5 years. The stock has a policy of not paying out any dividends. Based on these information, calculate the cost of establishing the above investment strategy based on the Black-Sholes model.
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Applied Equity Analysis and Portfolio Management Tools to Analyze and Manage Your Stock Portfolio
Authors: Robert A.Weigand
1st edition
978-111863091, 1118630912, 978-1118630914
