Question
You are given the following information about the stock of Company ABC: Share price $80 risk free rate of interest is 6%, time to expiration
You are given the following information about the stock of Company ABC:
Share price $80 risk free rate of interest is 6%, time to expiration is 6 months, annualised standard deviationis 0.5 and exercise price is $85.
Calculate the appropriate call value of the stock according to the Black-Scholes option pricing formula.
Calculate an appropriate put premium
Step by Step Solution
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Step: 1
To calculate the call value using the BlackScholes option pricing formula we need the following inpu...
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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
