Current value of S&P500 is 2500, interest rate is 2% per year, annualized volatility of S&P500 is

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Current value of S&P500 is 2500, interest rate is 2% per year, annualized volatility of S&P500 is 30%, a call option has strike price 2250 and expires in 0.25 years.

Using Black-Scholes option pricing formula, find option premium

Find option delta

Related Book For answer-question

Introduction To Corporate Finance

ISBN: 9781118300763

3rd Edition

Authors: Laurence Booth, Sean Cleary

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Posted Date: Feb 21, 2024 06:12 AM

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Current value of S&P500 is 2500, interest rate is 2% per year, annualized volatility of S&P500 is

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Expert Answer:

Using the BlackScholes formula Inputs Current price S 2500 Strike price K 2250 Interest rate r 2 exp... View the full answer

Introduction To Corporate Finance

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