MAS has a call option that is European style in nature. MAS stock price is currently traded at RM6.00, the 3-month KLIBOR is at 4% annualized, and the stock price volatility is about 40%. MAS will pay a dividend of 60 sen per share in 30 days, and you expect the stock price to drop once it goes ex-div.

Now, compute the fair value of a 30-day RM5 call option for MAS based on the given information.

Answer rating: 100% (QA)

SOLUTION To compute the fair value of the 30day RM5 call option for MAS we can use the BlackScholes ... View the full answer