Question
The options on the stock of the Petronas Gas Berhad have the following input values: Stock price = $55 Strike price = $52 Risk-free rate
The options on the stock of the Petronas Gas Berhad have the following input values:
Stock price = $55
Strike price = $52
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)
Determine the value of a put on Petronas Gas Berhad's stock.
a. $1.75
b. $2.13
c. $2.65
d. $2.95
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New Issues In Financial Institutions Management
Authors: F Fiordelisi, P Molyneux, D Previati
2010th Edition
0230278108, 978-0230278103
