You are given the following information on some company's stock, as well as the risk- free...
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You are given the following information on some company's stock, as well as the risk- free asset. Use it to calculate the price of the call option written on that stock, as well as the price of the put option. (HINT: You should use the Black-Scholes formula!) (Do not round intermediate calculations and round your final answers to 2 decimal places, e.g., 32.16.) Today's stock = $80 price Exercise price = $75 Risk-free rate = Option maturity = 4 months Standard deviation of annual stock returns Call price Put price 4.7% per year, compounded continuously = 65% per year You are given the following information on some company's stock, as well as the risk- free asset. Use it to calculate the price of the call option written on that stock, as well as the price of the put option. (HINT: You should use the Black-Scholes formula!) (Do not round intermediate calculations and round your final answers to 2 decimal places, e.g., 32.16.) Today's stock = $80 price Exercise price = $75 Risk-free rate = Option maturity = 4 months Standard deviation of annual stock returns Call price Put price 4.7% per year, compounded continuously = 65% per year
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A Call Price Using the BlackScholes formula Call Price SNd1 KertNd2 Where S Todays stock price 80 K ... View the full answer
Related Book For
An Introduction to the Mathematics of financial Derivatives
ISBN: 978-0123846822
2nd Edition
Authors: Salih N. Neftci
Posted Date:
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