Question
Using the Black-Scholes formula as presented in Chapter 13, what is the price of a European call option on a non-dividend-paying stock when the stock
Using the Black-Scholes formula as presented in Chapter 13, what is the price of a European call option on a non-dividend-paying stock when the stock price is $78, the strike price is $75, the risk-free interest rate is 12% per annum, the volatility is 30% per annum, and the time to maturity is three months?
| a. | $7.59 | |
| b. | $5.06 | |
| c. | $4.83 | |
| d. | $2.06 | |
| e. | $6.96 |
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American Public School Finance
Authors: William A. Owings, Leslie S. Kaplan
1st Edition
0495807834, 9780495807834
