The Black-Scholes model is used by Bulldogs Inc. to value call options on the stock of National Inc. The following information was determined by the analyst: ·       The share price is P30. ·       The price of the option is at P32. ·       The risk-free rate is 3%. ·       The option matures in 6 months In the formula of the current value of the call option under the Black-Scholes model, what is the exponent of “e” be?

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
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The Black-Scholes model is used by Bulldogs Inc. to value call options on the stock of National Inc. The following information was determined by the analyst:

·       The share price is P30.
·       The price of the option is at P32.
·       The risk-free rate is 3%.
·       The option matures in 6 months

In the formula of the current value of the call option under the Black-Scholes model, what is the exponent of “e” be?

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