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Using the Black-Scholes model, calculate the value of a European call option given the following information: Spot rate = 100. Strike price = 110:
Using the Black-Scholes model, calculate the value of a European call option given the following information: Spot rate = 100. Strike price = 110: Risk-free rate=10%; Time to expiry = 0.5 years; N(d1)=0.457185: N(d2)=0.374163.6.11 a) $10.90 b) $9.51 c) $6.57 d) $4.92
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Research Methods Statistics and Applications
Authors: Kathrynn A. Adams, Eva Marie K. Lawrence
1st edition
1452220182, 978-1452220185
