The following is an example of the use of the BlackScholes option pricing formula: Solve for C.
Question:
The following is an example of the use of the Black–Scholes option pricing formula: Solve for C. Assume
S = $40
E = $45
r = 0.10
t = 0.5 (6 months)
σ = 0.45
Transcribed Image Text:
d₁ In(40/45) + [0.10+0.5(0.45)²10.5 0.45 [(0.5) ¹/2] -0.1178 +0.1006 0.3182 = -0.054
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Related Book For
Investments Analysis And Management
ISBN: 9781118975589
13th Edition
Authors: Charles P. Jones, Gerald R. Jensen
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