Question
Suppose Waldo's stock price is currently R 90. In the next 12 months it will either fall to R 72 or rise to R 108.
Suppose Waldo's stock price is currently R 90. In the next 12 months it will either fall to R 72 or rise to R 108. What is the current value of a 12-month call option with an exercise price of R 90? The 12-month risk-free interest rate is 2%.
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The Handbook Of Equity Derivatives
Authors: Jack Clark Francis, William W. Toy, J. Gregg Whittaker
1st Edition
0471326038, 978-0471326038
