Question
Use Black-Scholes model to price a European call option Use the Black-Scholes formula to find the value of a call option based on the following
Use Black-Scholes model to price a European call option
Use the Black-Scholes formula to find the value of a call option based on the following inputs. [Hint: to find N(d1) and N(d2), use Excel normsdist function.] (Round your final answer to 2 decimal places. Do not round intermediate calculations.)
| Stock price | $ | 54 | |||
| Exercise price | $ | 63 | |||
| Interest rate | 0.08 | ||||
| Dividend yield | 0.04 | ||||
| Time to expiration | 0.50 | ||||
| Standard deviation of stocks returns | 0.26 | ||||
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| |||||
Call value $__________
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Handbook Of Environmental And Sustainable Finance
Authors: Vikash Ramiah, Greg N. Gregoriou
1st Edition
012803615X, 978-0128036150
