Apple Inc. share price at the close of 24th March 2020 was $105.67. 1-year risk-free interest rates
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Question:
Apple Inc. share price at the close of 24th March 2020 was $105.67. 1-year risk-free interest rates on 24th March 2020 in the United States were 0.064%. In the next year, Apple Inc. is expected to pay only once a dividend of $1 per share in exactly 100 calendar days after 24th March 2020. Assuming continuous compounding, an annualising factor of 252 and 360 day count convention.
After converting the expected dividend into dividend yield, use the Black-Scholes formula, calculate the price of a European-type put option with a strike price of $100.
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