Question
Use the Black-Scholes formula for the following stock: Time to expiration = 6 months Standard deviation = 55 % per year Exercise price = $51
| Use the Black-Scholes formula for the following stock: |
| Time to expiration | = 6 months |
| Standard deviation | = 55 % per year |
| Exercise price | = $51 |
| Stock price | = $49 |
| Interest rate | = 5 % |
| Calculate the value of a put option. (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the "$" sign in your response.) |
| Value of a put option | $ |
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Mathematical Control Theory And Finance
Authors: Andrey Sarychev, Albert Shiryaev, Manuel Guerra, Maria Do Rosário Grossinho
2008th Edition
3540695311, 978-3540695318
