Suppose a stock is currently trading at 92 and the annual risk free rate is 0.0018. What

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Suppose a stock is currently trading at 92 and the annual risk free rate is 0.0018.

What is the price of a call option on this stock with an expiration date T = 0.5 (times in years) and with an exercise price K = 98. Assume the volatility of annual log return is sd = 0.2

What is the price of a put option on the same stock with the same parameters

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Management Science The Art of Modeling with Spreadsheets

ISBN: 978-1118582695

4th edition

Authors: Stephen G. Powell, Kenneth R. Baker

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Posted Date: May 14, 2024 03:27 AM

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Suppose a stock is currently trading at 92 and the annual risk free rate is 0.0018. What

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A classic options pricing problem We can use the BlackScholes model to estimate the prices of the ca... View the full answer

Management Science The Art of Modeling with Spreadsheets

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