Question
The current price of a stock is $100. Consider the Black-Scholes model price of a six-month call option at strike $101, given an interest rate
The current price of a stock is $100. Consider the Black-Scholes model price of a six-month call option at strike $101, given an interest rate of 2% and a dividend rate of 1%? The volatility is 25%. What is the risk-neutral probability of the option ending up in the money?
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International Financial Management
Authors: Geert Bekaert, Robert Hodrick
3rd edition
1107111820, 110711182X, 978-1107111820
