Question
The current stock price is 100. It pays 6% continuous dividend yield. Its volatility is 30%. The risk free interest rate is 3% flat. Use
The current stock price is 100. It pays 6% continuous dividend yield. Its volatility is 30%. The risk free interest rate is 3% flat. Use the closed form results from BSM theory to compute the price, delta and theta (round your numerical results to 4 decimal places) for
a) a 10 year European style call option with strike 150;
b) a perpetual American style call option with strike 150.
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Intermediate Accounting IFRS Edition
Authors: Donald E. Kieso, Jerry J. Weygandt, Terry D. Warfield
2nd Edition
1118443969, 978-1118443965
