Compute the Black-Scholes European Call option price showing details at the various steps, i.e. show d1,...
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Compute the Black-Scholes European Call option price showing details at the various steps, i.e. show d1, d2, N(d1), N(d2), etc... The stock is currently trading at $55. The riskless rate is 2% per annum, the volatility is 20% per annum, the strike/exercise price of the option is $45, and the time to expiration is 9 months. The stock is scheduled to pay a $1 dividend one month from now, four months from now, and 7 months from now. Display your results for the Call price to 4 decimals. d1 = Q d2= N(d1) = N(d2) = C = So = K= A r= σ= T= Compute the Black-Scholes European Call option price showing details at the various steps, i.e. show d1, d2, N(d1), N(d2), etc... The stock is currently trading at $55. The riskless rate is 2% per annum, the volatility is 20% per annum, the strike/exercise price of the option is $45, and the time to expiration is 9 months. The stock is scheduled to pay a $1 dividend one month from now, four months from now, and 7 months from now. Display your results for the Call price to 4 decimals. d1 = Q d2= N(d1) = N(d2) = C = So = K= A r= σ= T=
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Related Book For
Fundamentals Of Corporate Finance
ISBN: 9781265553609
13th Edition
Authors: Stephen Ross, Randolph Westerfield, Bradford Jordan
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