2. The current stock price of a non-dividend-paying stock is $50, the risk-free interest rate is...
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2. The current stock price of a non-dividend-paying stock is $50, the risk-free interest rate is 10% per annum, and the volatility is 30% per annum. a) According to the BSM model what is the price of a three-month European put option with a strike of $50? b) What would be the price of this option if the stock is expected to pay a dividend of $1.50 in two months? 2. The current stock price of a non-dividend-paying stock is $50, the risk-free interest rate is 10% per annum, and the volatility is 30% per annum. a) According to the BSM model what is the price of a three-month European put option with a strike of $50? b) What would be the price of this option if the stock is expected to pay a dividend of $1.50 in two months?
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