Using the Black-Scholes formula, calculate the value of a European call option on South32 Ltd. (S32). South32s
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Question:
Using the Black-Scholes formula, calculate the value of a European call option on South32 Ltd. (S32).
South32’s current price is R48.56,
The exercise price of the contract is R50,
the risk-free rate is 4.5% p.a.
The share has a weekly volatility of 9.00% and has an annual dividend yield of 7.80%.
The option will expire in six months.
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