A share priced at RM65 has a standard deviation of 30 percent. Three month calls and puts with an exercise price of RM62 are available with the risk-free rate is 5 percent. Calculate the value of the call and put option.
A share priced at RM65 has a standard deviation of 30 percent. Three month calls and puts with an exercise price of RM62 are available with the risk-free rate is 5 percent. Calculate the value of the call and put option.
Chapter20: Financing With Derivatives
Section20.A: The Black-scholes Option Pricing Model
Problem 1P
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a) A share priced at RM65 has a standard deviation of 30 percent. Three month calls and puts with an exercise price of RM62 are available with the risk-free rate is 5 percent. Calculate the value of the call and put option.
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