Question
Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 44% per year Exercise price $46 Stock price $45 Annual
Use the Black-Scholes formula for the following stock:
Time to expiration 6 months
Standard deviation 44%
per year Exercise price $46
Stock price $45
Annual interest rate 4%
Dividend 0
Calculate the value of a call option.
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Fixed Income Securities Tools For Todays Markets
Authors: Bruce Tuckman, Angel Serrat
3rd Edition
0470891696, 978-0470891698
