Question
The underlying stock for a European exchange option has S = $27.15, div = 2.0%, and = 0.18. The strike stock has S = $30.00,
The underlying stock for a European exchange option has S = $27.15, div = 2.0%, and = 0.18. The strike stock has S = $30.00, div = 0.0%, and = 0.22. The two stocks have a correlation coefficient of 0.73. If the exchange option expires in 2 years, what is the price of the call using a Black-Scholes formula?
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Options Futures And Other Derivatives
Authors: John C. Hull
7th Edition
0136015867, 9780136015864
