Assume that you have been given the following information on Purcell Industries: Current stock price = $25
Question:
Assume that you have been given the following information on Purcell Industries:
Current stock price = $25
Time to maturity of option = 6 months
Variance of stock return = 0.09
d1 = 0.2239
d2 = 0.0118
Strike price of option = $25
Risk-free rate = 5%
N(d1) = 0.5886
N(d2) = 0.5047
According to the Black-Scholes option pricing model, what is the option's value?
MaturityMaturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...
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P 25 X 25 t 05 r RF 005 s 2 009 d 1 02239 d 2 001...View the full answer
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Related Book For 
Financial Management Theory And Practice
ISBN: 978-0176583057
3rd Canadian Edition
Authors: Eugene Brigham, Michael Ehrhardt, Jerome Gessaroli, Richard Nason
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