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 | $ | 57 | |||
| Exercise price | $ | 61 | |||
| Interest rate | 0.08 | ||||
| Dividend yield | 0.04 | ||||
| Time to expiration | 0.50 | ||||
| Standard deviation of stocks returns | 0.28 | ||||
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Call value $
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Market Liquidity Asset Pricing Risk And Crises
Authors: Yakov Amihud, Haim Mendelson, Lasse Heje Pedersen
1st Edition
0521191769,113955770X
