Consider an option on a stock where the stock price is $30, the strike price...
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Finance
Consider an option on a stock where the stock price is $30, the strike price is $29, the continuously compounded risk-free rate of return is 5% per year, the continuously compounded standard deviation of its return is 25% per year and the time to maturity is 4 months. If this stock is due to go ex-dividend in 1.5 months and paying a dividend of $0.50 then the Black-Scholes price of a European call on the stock is closest to what number?
| $2.21 | ||
| $3.11
| ||
| $4.71
| ||
| $4.01
| ||
| $5.41 |
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