Use Black Scholes to Value the put and call given the following criteria. The stock price six
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Question:
Use Black Scholes to Value the put and call given the following criteria. The stock price six months from the expiration of an option is $13.50, the exercise price of the option is $13, the risk free interest rate is 10 percent per annum, and the volatility is 20% per annum.
| c = 0.50, p = 0.63 |
| c = 1.43, p = 0.30 |
| c = 1.09, p = 0.44 |
Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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