Question
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.
I am fairly certain the answer is not 2.14...
a.) What is the value of a European call option with a strike price of $100 and expiration in 10 years?
b.) 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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Foundations Of Finance
Authors: Arthur J. Keown, John H. Martin, J. William Petty
10th Edition
0135160618, 978-0135160619
