A stock is currently priced at $35. A call option with an expiration of one year has
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A stock is currently priced at $35. A call option with an expiration of one year has an exercise price of $40. The risk-free rate is 3 percent per year, compounded continuously, and the standard deviation of the stock’s return is infinitely large. What is the price of the call option?
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Related Book For
Corporate Finance Core Principles and Applications
ISBN: 978-1259289903
5th edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan
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