Question
Use two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters: T-bills yield: 3.8 pct.
Use two-state option pricing model to find the value of a call option and the intrinsic value given the following parameters:
| T-bills yield: | 3.8 pct. |
| Current stock price: | $25.00 |
| No possibility stock will be worth less this amount in one year: | $22.00 |
| Exercise Price: | $12.00 |
| Value of call = $10.44, Intrinsic Value = $13.00 |
| Value of call = $13.44, Intrinsic Value = $3.00 |
| Value of call = $13.44, Intrinsic Value = $13.00 |
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
12th edition
978-0324597714, 324597711, 324597703, 978-8131518571, 8131518574, 978-0324597707
