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You are given the following information concerning options on a particular stock: Stock price = $57 Exercise price = $55 Risk-free rate = 4% per
| You are given the following information concerning options on a particular stock: |
| Stock price | = | $57 |
| Exercise price | = | $55 |
| Risk-free rate | = | 4% per year, compounded continuously |
| Maturity | = | 6 months |
| Standard deviation | = | 37% per year |
| What is the time value of each option? (Round your answers to 2 decimal places. (e.g., 32.16)) |
Call option value ?
put option value ?
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Liquidity Risk Management In Banks Economic And Regulatory Issues
Authors: Roberto Ruozi, Pierpaolo Ferrari
1st Edition
3642295800, 978-3642295805
