Suppose you own a call option on a stock for which the following applies: Underlying stock's price = $60 Exercise price on the option = $58 Annual risk-free rate = 5 percent Time to expiration on the option = 3 months Standard deviation of the underlying stock's return = .12 Calculate the value of the option.
Suppose you own a call option on a stock for which the following applies: Underlying stock's price = $60 Exercise price on the option = $58 Annual risk-free rate = 5 percent Time to expiration on the option = 3 months Standard deviation of the underlying stock's return = .12 Calculate the value of the option.
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 3Q
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