Question
You sell a European call option with the following parameters: m=0.6, S = $50, p = $3, r = 3% p.a., mu = 8% p.a.
You sell a European call option with the following parameters: m=0.6, S = $50, p = $3, r = 3% p.a., mu = 8% p.a. Both r and mu are continuously compounded. What is the instantaneous continuously-compounded expected return on your call position?
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Corporate Finance
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
6th International Edition
0071229035, 978-0071229036
