The current price of stock A is $100. The standard deviation is 25% a year, and...
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The current price of stock A is $100. The standard deviation is 25% a year, and the interest rate is 20% a year. A one-year call option on stock A has an exercise price of $100. (Hint: You can use the Excel function NORMSDIST to find N (d₁) and N(d₂).) Calculate the up and down moves of stock A and value the option on stock A by using the Black-Scholes model. The current price of stock A is $100. The standard deviation is 25% a year, and the interest rate is 20% a year. A one-year call option on stock A has an exercise price of $100. (Hint: You can use the Excel function NORMSDIST to find N (d₁) and N(d₂).) Calculate the up and down moves of stock A and value the option on stock A by using the Black-Scholes model.
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d1 can be calculated as lnS K r SD2 2t SDt05 Where S is Current price K is Strike price r is i... View the full answer
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