The current stock price for XYZ ltd is sh. 85. A European call option with an exercise price of sh. 85 will expire in 160 days. The yield on a 160-day Treasury bill is 5.18%. The standard deviation of annual returns on XYZ’S stock is 445. Compute the premium for a call option on this stock using Black-Scholes model.

The current stock price for XYZ ltd is sh. 85. A European call option with an exercise price of sh. 85 will expire in 160 days. The yield on a 160-day Treasury bill is 5.18%. The standard deviation of annual returns on XYZ’S stock is 445. Compute the premium for a call option on this stock using Black-Scholes model.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section20.A: The Black-scholes Option Pricing Model

Problem 1P

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