e Black-Scholes price of a call option on a stock which does not pay dividends and has the volatility 0.2, if its exercise price is 200 USD and expiration in one year. Interest rate is zero and the price of the stock is 180 USD. Use excel.

e Black-Scholes price of a call option on a stock which does not pay dividends and has the volatility 0.2, if its exercise price is 200 USD and expiration in one year. Interest rate is zero and the price of the stock is 180 USD. Use excel.

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter5: Financial Options

Section: Chapter Questions

Problem 5P

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Question

Compute the Black-Scholes price of a call option on a stock which does not pay dividends and has the volatility 0.2, if its exercise price is 200 USD and expiration in one year. Interest rate is zero and the price of the stock is 180 USD.

Use excel.

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