onsider the following data for a certain stock: Price of the stock now = 50 = Rs.150 Exercise price Rs.140 Standard deviation of continuously compounded annual retur Expiration period of the call option = 3 months Risk-free interest rate per annum = 6 percent (i) What is the value of the call option as per the Black-Scholes model.? Use the normal distribution table and resort to linear interpolation. 0 What s the value of the put option?
onsider the following data for a certain stock: Price of the stock now = 50 = Rs.150 Exercise price Rs.140 Standard deviation of continuously compounded annual retur Expiration period of the call option = 3 months Risk-free interest rate per annum = 6 percent (i) What is the value of the call option as per the Black-Scholes model.? Use the normal distribution table and resort to linear interpolation. 0 What s the value of the put option?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Consider the following data for a certain stock: Price of the stock now = 50 = Rs.150 Exercise price Rs.140 Standard deviation of continuously compounded annual retur Expiration period of the call option = 3 months Risk-free interest rate per annum = 6 percent (i) What is the value of the call option as per the Black-Scholes model.? Use the normal distribution table and resort to linear interpolation. 0 What s the value of the put option?
Transcribed Image Text:Consider the following data for a certain stock:
Price of the stock now = 50 = Rs.150
= E = Rs.140
Exercise price
Standard deviation of continuously compounded annual return = s = 0.30
Expiration period of the call option = 3 months
Risk-free interest rate per annum = 6 percent
(i) What is the value of the call option as per the Black-Scholes model.? Use the normal distribution table and resort to linear interpolation.
(i)
What is the value of the put option?
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