Calculate the fair value of a put option using BSOPM based on the following information. Cumulative normal distribution table is provided at the back. Stock price Exercise price Annual interest rate RM40 P = Ke-N-d,) – S-N-d,) RM35 12% In(S/K) + [r + {o*/2)]T 180 days Maturity Standard deviation OVT 30% Dividend d = d, - aVT
Calculate the fair value of a put option using BSOPM based on the following information. Cumulative normal distribution table is provided at the back. Stock price Exercise price Annual interest rate RM40 P = Ke-N-d,) – S-N-d,) RM35 12% In(S/K) + [r + {o*/2)]T 180 days Maturity Standard deviation OVT 30% Dividend d = d, - aVT
Financial Management: Theory & Practice
16th Edition
ISBN:9781337909730
Author:Brigham
Publisher:Brigham
Chapter8: Financial Options And Applications In Corporate Finance
Section: Chapter Questions
Problem 5MC: In 1973, Fischer Black and Myron Scholes developed the Black-Scholes option pricing model (OPM). (1)...
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