Consider Barrack Industries, for which the following financial data is provided: Current share price: R 1 5
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Question:
Consider Barrack Industries, for which the following financial data is provided:
Current share price: R
Strike price of the option: R
Riskfree rate:
Variance of share returns:
a Use the given data to calculate the values of d and d using the BlackScholes
model. Please detail your calculations for full credit.
marks
b Given that Nd and Nd calculate the value of a European
call option on Barrack Industries shares. Clearly state any assumptions you make
and explain how they affect the options value.
marks
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