A stock sells for $110. A call option on the stock has exercise price of $105...

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Finance

A stock sells for $110. A call option on the stock has exerciseprice of $105 and expires in 43 days. Assume that the interest rateis 0.11 and the standard deviation of the stock’s return is0.25.
What is the call price according to the black-Scholesmodel?

Answer & Explanation Solved by verified expert

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We use BlackScholes Model to calculate the value of the call and put options The value of a call and put option are C S0 Nd1 Kert Nd2 where S0 current spot See Answer

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A stock sells for $110. A call option on the stock has exercise price of $105...

70.2K

Verified Solution

Question

Finance

A stock sells for $110. A call option on the stock has exerciseprice of $105 and expires in 43 days. Assume that the interest rateis 0.11 and the standard deviation of the stock’s return is0.25.
What is the call price according to the black-Scholesmodel?

Answer & Explanation Solved by verified expert

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A stock sells for $110. A call option on the stock has exercise price of $105...

70.2K

Verified Solution

Question

Finance

A stock sells for $110. A call option on the stock has exerciseprice of $105 and expires in 43 days. Assume that the interest rateis 0.11 and the standard deviation of the stock’s return is0.25.What is the call price according to the black-Scholesmodel?

Answer & Explanation Solved by verified expert

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Transcribed Image Text

Other questions asked by students

A stock sells for $110. A call option on the stock has exerciseprice of $105 and expires in 43 days. Assume that the interest rateis 0.11 and the standard deviation of the stock’s return is0.25.
What is the call price according to the black-Scholesmodel?