Question
Use the Black-Scholes formula to find the value of a call option on the following stock: Time to expiration: 6 months Standard deviation: 50% per
Use the Black-Scholes formula to find the value of a call option on the following stock:
Time to expiration: 6 months
Standard deviation: 50% per year
Exercise price: $50
Stock price: $50
Interest rate: 3%
Given: N(0.219)=0.587; N(-0.134)=0.447.
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Financial and Management Accounting
Authors: Pauline Weetman
7th edition
1292086599, 978-1292086590
