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uppose you observe the following about a call option on a stock: Stock price = $63 Strike = $60 Risk-free rate = 6% per year,
uppose you observe the following about a call option on a stock: |
Stock price | = | $63 |
---|---|---|
Strike | = | $60 |
Risk-free rate | = | 6% per year, compounded continuously |
Expiry | = | 3 months |
Standard deviation | = | 44% per year |
Calculate the time value of the option.
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