A call option matures in six months. The underlying stock price is $85, and the stocks return
Question:
A call option matures in six months. The underlying stock price is $85, and the stock’s return has a standard deviation of 20 percent per year. The risk-free rate is 4 percent per year, compounded continuously. If the exercise price is $0, what is the price of the call option?
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Step by Step Answer:
The price of a European call option can be calculated using the BlackScholes model The BlackScholes ...View the full answer
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Related Book For 
Fundamentals Of Corporate Finance
ISBN: 9780072553079
6th Edition
Authors: Stephen A. Ross, Randolph Westerfield, Bradford D. Jordan
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