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You purchase a call option for $6.48 with 20 weeks to expiration on a stock you expect to increase 40.00%. The strike price of the
You purchase a call option for $6.48 with 20 weeks to expiration on a stock you expect to increase 40.00%. The strike price of the option is $67.50 The stock is currently priced at $67.50. Its standard deviation is 36.00% It pays a 0.00% dividend. The risk-free rate is 4.00% If the stock rises exactly as you expect, but it takes 10 weeks , what is the gain on your options trade as a percent (or decimal)? Use these values as a part of your calc's:
N(d1) 0.98806
N(d2) 0.98218
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