Consider a stock with a volatility of its logarithm of = 25%. The current price...
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Consider a stock with a volatility of its logarithm of σ = 25%. The current price of the stock is $53. The stock pays no dividends. A European call option on this stock has an expiration date 6 months from now and a strike price of $50. The risk-free interest rate ris 8%, compounded continuously. (a) Determine the price of this call using Black-Scholes option valuation formula. (b) Calculate the Delta, Gamma, Theta, Vega and Rho of the above call option. Consider a stock with a volatility of its logarithm of σ = 25%. The current price of the stock is $53. The stock pays no dividends. A European call option on this stock has an expiration date 6 months from now and a strike price of $50. The risk-free interest rate ris 8%, compounded continuously. (a) Determine the price of this call using Black-Scholes option valuation formula. (b) Calculate the Delta, Gamma, Theta, Vega and Rho of the above call option.
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Answer rating: 100% (QA)
Type of Option Call Spot Price S0 5300 Exercise Strike Price K 5000 Tim... View the full answer
Related Book For
Practical Management Science
ISBN: 978-1305250901
5th edition
Authors: Wayne L. Winston, Christian Albright
Posted Date:
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