Question
Use the following data to value call options on the stock of AABC Corporation. Stock price $35. Strike price of option $35. Option matures in
Use the following data to value call options on the stock of AABC Corporation.
Stock price $35.
Strike price of option $35.
Option matures in 6 months
Standard deviation of the stock's returns is 0.40, and the variance is 0.16.
Risk-free rate is 2%.
d1 = 0.175
d2 = 0.025
N(d1) = 0.56946
N(d2) = 0.49003
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Entrepreneurial Finance
Authors: J. Chris Leach, Ronald W. Melicher
6th edition
1305968352, 978-1337635653, 978-1305968356
