Question
Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 49% per year Exercise price $60 Stock price $58 Annual
Use the Black-Scholes formula for the following stock:
| Time to expiration | 6 months | |
| Standard deviation | 49% per year | |
| Exercise price | $60 | |
| Stock price | $58 | |
| Annual interest rate | 5% | |
| Dividend | 0 | |
Calculate the value of a put option. (Do not round intermediate calculations. Round your answer to 2 decimal places.)
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Environmental Finance And Investments
Authors: Marc Chesney, Jonathan Gheyssens, Anca Claudia Pana, Luca Taschini
2nd Edition
366248174X, 978-3662481745
