Current value of S&P500 is 2500, interest rate is 2% per year, annualized volatility of S&P500 is
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Question:
Current value of S&P500 is 2500, interest rate is 2% per year, annualized volatility of S&P500 is 30%, a call option has strike price 2250 and expires in 0.25 years.
- Using Black-Scholes option pricing formula, find option premium
- Find option delta
Related Book For
Introduction To Corporate Finance
ISBN: 9781118300763
3rd Edition
Authors: Laurence Booth, Sean Cleary
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