Consider the following data for a certain share. Current Price = S 0 = Rs. 80 Exercise
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Question:
Consider the following data for a certain share.
Current Price = S0 = Rs. 80
Exercise Price = E = Rs. 90
Standard deviation of continuously compounded annual return = = 0.5
Expiration period of the call option = 3 months
Risk – free interest rate per annum = 6 percent
a. What is the value of the call option? Use the normal distribution table.
b. What is the value of a put option?
Related Book For
Introduction to Financial Accounting
ISBN: 978-0133251036
11th edition
Authors: Charles Horngren, Gary Sundem, John Elliott, Donna Philbrick
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