Question
The current price of LAD stock is $100. The annual variance of LAD stock return is 0.225 and the continuously compounded interest rate is 5%
The current price of LAD stock is $100. The annual variance of LAD stock return is 0.225 and the continuously compounded interest rate is 5% per annum. A six-month call option on LAD stock has a strike price of $95. Use the Black-Scholes model to value the six-month put option on LAD stock with the same exercise price.
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Fundamentals of Investment Management
Authors: Geoffrey Hirt, Stanley Block
10th edition
0078034620, 978-0078034626
