Question
What should be the price of a put option with the given characteristics based on the BSM model? Exercise Price=100 standard deviation of returns =
What should be the price of a put option with the given characteristics based on the BSM model? Exercise Price=100 standard deviation of returns = 75% Stock Price = 100 Option Type = European Maturity = 1 year Dividends before maturity= 0 APR compounded continuously = 10% d N(d) d N(d) 0.2225 0.5871 0.7225 0.7642 0.2625 0.6026 0.7425 0.7704 0.3025 0.6179 0.7625 0.7764 a. $14.43 b. $12.28 c. $15.12 d. $13.59 e. $11.93
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Cases in Financial Reporting
Authors: Michael J. Sandretto
1st edition
538476796, 978-0538476799
