Question
The options on the stock of the Petronas Gas Berhad have the following input values: Stock price = RM55 Strike price = RM52 Risk-free rate
The options on the stock of the Petronas Gas Berhad have the following input values:
Stock price = RM55
Strike price = RM52
Risk-free rate = 0.10
Standard deviation = 0.33
Time to maturity = 0.4
(Assume that no dividends are currently being paid and use BSOPM model)
If risk-free rate rises to 0.12, determine the price of a call on Petronas Gas's stock if the other inputs do not change. Assume no dividends.
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Corporate Finance A Focused Approach
Authors: Michael C. Ehrhardt, Eugene F. Brigham
6th edition
1305637100, 978-1305637108
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