Question
The stock has a price of $90 and a volatility of 30% per annum. European options on the stock have a strike price of $86
The stock has a price of $90 and a volatility of 30% per annum.
European options on the stock have a strike price of $86 and a time to maturity of 270 days.
The risk-free interest rate is 4% per annum on a continuously compounded basis.
The stock pays dividends at a continuously compounded rate of 2.0%.
What is the risk-neutral probability using Black-Scholes?
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Public Finance In Theory And Practice
Authors: Holley Ulbrich
1st Edition
0324016603, 978-0324016604
