You have been given the following information on Claiborne Industries: Current stock price = $40 Option's...
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You have been given the following information on Claiborne Industries: Current stock price = $40 Option's exercise price = $40 Time until expiration of option 3 months, or 0.25 of a year Risk-free rate = 4% Variance of stock price = 0.08 d₁ = 0.14147 d₂ = -0.00353 N(d₁) = 0.55625 N(d₂) = 0.49859 Using the Black-Scholes Option Pricing Model, what would be the option's value? Round intermediate calculations to 6 decimal places. Round your answer to two decimal places. $ You have been given the following information on Claiborne Industries: Current stock price = $40 Option's exercise price = $40 Time until expiration of option 3 months, or 0.25 of a year Risk-free rate = 4% Variance of stock price = 0.08 d₁ = 0.14147 d₂ = -0.00353 N(d₁) = 0.55625 N(d₂) = 0.49859 Using the Black-Scholes Option Pricing Model, what would be the option's value? Round intermediate calculations to 6 decimal places. Round your answer to two decimal places. $
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solution As per Black Scholes option pricing model Call O... View the full answer
Related Book For
Fundamentals of Financial Management
ISBN: 978-1285867977
14th edition
Authors: Eugene F. Brigham, Joel F. Houston
Posted Date:
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