Question

Recalculate the value of the option in problem 7, successively substituting one of the changes below while keeping the other parameters:
a. Time to maturity = 3 months
b. Standard deviation =25 percent per year
c. Exercise price = $ 55
d. Stock price = $ 55
e. Interest rate = 5 percent
Consider each scenario independently. Confirm that the option value changes in accordance with the prediction of Table 19.1.


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  • CreatedJune 21, 2015
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