Question
The stock price 6 months from the expiration of an option is $42, the exercise price of the option is $40, the risk-free interest rate
The stock price 6 months from the expiration of an option is $42, the exercise price of the option is $40, the risk-free interest rate is 10% per annum, and the volatility is 20% per annum. Dividends of $2 per share is expected after 2 months. What is the price of European call option?
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Financial Reporting and Analysis
Authors: Lawrence Revsine, Daniel Collins, Bruce Johnson, Fred Mittelstaedt, Leonard Soffer
7th edition
1259722651, 978-1259722653
