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Suppose that Bigco is currently trading for $100 per share. The stock has an annual volatility of 90 percent and does not pay any dividends.
Suppose that Bigco is currently trading for $100 per share. The stock has an annual volatility of 90 percent and does not pay any dividends. The riskless interest rate is 3 percent.
- What is the value of a European call option with a strike price of $100 and expiration in 10 years?
- What is the value of a RE call option with a strike price of $100 and an expected holding period of 10 years?
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Contemporary Quantitative Finance
Authors: Carl Chiarella, Alexander Novikov
2010th Edition
3642034780, 978-3642034787
