Stock price: $48 Exercise price : 46 Time to expiration: 1 year Stock price variance: 0.40 per
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Question:
Stock price: $48
Exercise price : 46
Time to expiration: 1 year
Stock price variance: 0.40 per year
Risk-free interest rate (compounded continuously) 5% per year
A) at what price should a European call option with the above characteristics sell (Note: when calculating N(d1) and N(d2). please carry your estimates out to 4 digits
B) Is this call option in the money, at the money, or out of the money.
C) At what price should the corresponding put option sell?
Related Book For
Fundamentals of Corporate Finance
ISBN: 978-1259722615
9th edition
Authors: Richard Brealey, Stewart Myers, Alan Marcus
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