Using the Black-Scholes formula, how much would one call option to buy a share of Marathon have
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Question:
Using the Black-Scholes formula, how much would one call option
to buy a share of Marathon have been worth on December 1, 2021?
1 https://www.fool.com/investing/2021/11/15/why-marathon-digital-plummeted-more-than-20-today/
Use the following assumptions:
a. Exercise price = $76.17
b. Stock price = $50.79
c. Dividend rate = 0
d. Maturity = 5 years
e. Risk-free rate = 1.25%
f. Volatility = 1.06
No adjustment for expected dilution is necessary, since the market appears to
have impounded the expected dilution cost when the stock dropped severely
on November 15.
Related Book For
Quantitative Methods for Business
ISBN: 978-0324651751
11th Edition
Authors: David Anderson, Dennis Sweeney, Thomas Williams, Jeffrey cam
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