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You bought 14 option contracts to sell shares in ABC company at a price of $80 per share expiring in 8 months. ABC stock
You bought 14 option contracts to sell shares in ABC company at a price of $80 per share expiring in 8 months. ABC stock currently trades as $77.68 per share. Assume ABC does not pay dividends. Suppose the interest rate is 1.75% and the implied volatility of ABC stock options is 13%. What is the value of this option portfolio? The answer is 5683.5209, can anyone explain how to get that?
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To calculate the value of the option portfolio we use the BlackScholes option pricing model for Euro...
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Probability And Statistics
Authors: Morris H. DeGroot, Mark J. Schervish
4th Edition
9579701075, 321500466, 978-0176861117, 176861114, 978-0134995472, 978-0321500465
