Question
Use the Black-Scholes Option Pricing model to value a call option on the stock of Houston-based Long-Range Videoing Equipment Inc. d.b.a. Outfield Sign Stealers Inc.
Use the Black-Scholes Option Pricing model to value a call option on the stock of Houston-based Long-Range Videoing Equipment Inc. d.b.a. Outfield Sign Stealers Inc.
Current stock price $15
d1 0.24495
Option strike price $15
d2 0
Option time to maturity 6 months
N(d1) 0.596752427
Stock return variance 0.12
N(d2) 0.5
risk-free rate 6%
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International Financial Markets And The Firm
Authors: Piet Sercu, Raman Uppal
1st Edition
1861523548, 978-1861523549
