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Use the Black-Scholes formula for the following stock: a. Time to expiration 6 months b. Standard deviation 52% per year c. Excercise price $53 d.
Use the Black-Scholes formula for the following stock:
a. Time to expiration | 6 months | |
b. Standard deviation | 52% per year | |
c. Excercise price | $53 | |
d. Stock price | $53 | |
e. Annual interest rate | 2% | |
f. Dividend | 0 | |
Recalculate the value of the call with the following changes:
a. | Time to expiration | 3 months | |
b. | Standard deviation | 30% per year | |
c. | Exercise price | $57 | |
d. | Stock price | $57 | |
e. | Interest rate | 4% | |
Calculate each scenario independently. Please show steps if possible
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