Assume the spot price of the S&P 500 is 2250, its implied volatility is 18% per...
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Assume the spot price of the S&P 500 is 2250, its implied volatility is 18% per annum, and the current risk-free rate is 1.65% per annum (both compounded continuously). For a 2-month European option with a strike price of 2,200, N(d₁ )=0.6480, N(d₂ )=0.6204. Assume no dividends will be paid over the next 2-month period. Based on the Black-Scholes Merton Model (BSM), what is the price of a 2-month European call with a strike price of 2,200? Assume the spot price of the S&P 500 is 2250, its implied volatility is 18% per annum, and the current risk-free rate is 1.65% per annum (both compounded continuously). For a 2-month European option with a strike price of 2,200, N(d₁ )=0.6480, N(d₂ )=0.6204. Assume no dividends will be paid over the next 2-month period. Based on the Black-Scholes Merton Model (BSM), what is the price of a 2-month European call with a strike price of 2,200?
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