Question
You observe that the value of Range Resources stock is 120, and that a 9 month call option on Range at 125 sells for 9.761.
- You observe that the value of Range Resources stock is 120, and that a 9 month call option on Range at 125 sells for 9.761. The interest rate is 4%. The initial (first) M-K estimate of the standard deviation of this stock is 17%.
A: (10 points) Using the Black-Sholes formula, determine if this first estimate is too high or too low.
B: (10 points) Using the M-K update formula, determine the 2nd estimate of the standard deviation of this stock.
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Auditor Going Concern Reporting A Review Of Global Research And Future Research Opportunities
Authors: Marshall A. Geiger, Anna Gold, Philip Wallage
1st Edition
0367649489, 978-0367649487
