Consider an option on a non-dividend-paying stock when the stock price is $67, the exercise price is

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Consider an option on a non-dividend-paying stock when the stock price is $67, the exercise price is $61, the risk-free rate is 0.5%, the market volatility is 30% and the time to maturity is 6 months. Using the Black-Scholes Model when necessary:

Given: Two dividend payments $1.75 and $2.75, two months and five months from now.

(v) Compute the price of the option if it is an American Call (In Excel & show formulas).

Posted Date: Oct 28, 2021 01:43 PM

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Consider an option on a non-dividend-paying stock when the stock price is $67, the exercise price is

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In case of American Call option valuation should be done by use of Binomial Option pricing mod... View the full answer

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