Question
Use the Black-Scholes option pricing model for the following problem. S0=$73.60, X=$70, T=0.25 years; r=6%; =20%. No dividends are paid before the option expires. The
Use the Black-Scholes option pricing model for the following problem. S0=$73.60, X=$70, T=0.25 years; r=6%; =20%. No dividends are paid before the option expires. The value of the call option is ______ and its delta is __________.
CHOICES:
Value: $0.00 Delta: 0.0808
Value: $0.09 Delta: 0.6736
Value: $2.14 Delta: 0.7257
Value: $5.75 Delta 0.7580
None of the above
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Public Finance A Contemporary Application of Theory to Policy
Authors: David N Hyman
11th edition
9781305474253, 1285173953, 1305474252, 978-1285173955
