A stock sells P110. A call option on the stock with an exercise price of P105 and expires in 43 days. If the interest rate is 0.11 and the standard deviation of the stock's return is 0.25, what is the price of the CALL OPTION according to the Black-Scholes Model? P6.92 P8.05 T P7.68 P6.88

A stock sells P110. A call option on the stock with an exercise price of P105 and expires in 43 days. If the interest rate is 0.11 and the standard deviation of the stock's return is 0.25, what is the price of the CALL OPTION according to the Black-Scholes Model? P6.92 P8.05 T P7.68 P6.88

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section: Chapter Questions

Problem 1P

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An increase in the rate of interest
A fall in the level of demand
A decrease in the rate of interest
A stock sells P110. A call option on the stock with an exercise price of P105 and
expires in 43 days. If the interest rate is 0.11 and the standard deviation of the stock's
return is 0.25, what is the price of the CALL OPTION according to the Black-Scholes
Model?
P6.92
P8.05 T
P7.68
P6.88
O Focu:
States)

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