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The following table shows the parameters of a black-Scholes option pricing model Black Scholes option...

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Question

Finance

The following table shows the parameters of a black-Scholes option pricing model

Black Scholes option pricing model

Input

Current stock price S= 35.75

Riskless rate r= 0.025

Strike price k= 36

No of years T= 0.25

Standard dev of return = 0.3

Create {Check out the Check-in 04-27 on option pricing model. Xls} the formulas to yield the intermediate variables and the final price of the call option.

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