7. Assume the following information for a stock and a call option written on the stock:
Exercise price = K40
Current stock price= 30
The variance (?2) .25 0r 25%
Time to expiration, .25year or a quarter
Risk free rate of return= 5% per annum
Answer the below questions
Use the Black-Scholes procedure to determine the value of the call option
Change the time to expiration, t, to 0.5 or six month and compute the call value again
DATE
Question answered on Jul 22, 2018
PRICE: $20
Solution~000447599.zip (18.37 KB)