Xstrata plc is currently priced at 10.52. A call option with an expiration of 6 months has
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Xstrata plc is currently priced at £10.52. A call option with an expiration of 6 months has an exercise price of £9.00. The risk-free rate is 3 per cent per year, compounded continuously, and the standard deviation of the equity’s return is infinitely large.
What is the price of the call option?
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Related Book For
Corporate Finance
ISBN: 9780077173630
3rd Edition
Authors: David Hillier, Stephen A. Ross, Randolph W. Westerfield, Bradford D. Jordan, Jeffrey F. Jaffe
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