12. The black-scholes OPM is dependent on which five parameters? a. stock price, exercise price, risk free
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Question:
12. The black-scholes OPM is dependent on which five parameters?
a. stock price, exercise price, risk free rate, beta, and time to maturity
b. stock price, risk free rate, beta, time to maturity, and variance
c. stock price, risk free rate, probability, variance and exervise price
d. stock price, exercise price, risk free rate, variance and time to maturity
13. a six-month call option has an exercise price of US$45 while the underlying stock currently sells for US$50. The call option is selling for US$9.75 and the risk-free rate of return is 7% per annum. What is the value of the put option?
a. 3.20
b. 4.20
c. 6.20
d.cannot be determined
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date: