The options on the stock of the Petronas Gas Berhad have the following input values: Stock price = $55 Strike price = $52 Risk-free rate = 0.10 Standard deviation = 0.33 Time to maturity = 0.4 (Assume that no dividends are currently being paid and use BSOPM model) If risk-free rate rises to 0.12, determine the price of a call on Petronas Gas's stock if the other inputs do not change. Assume no dividends. a. $6.80 b. $7.90 c. $7.25 d. $7.61
The options on the stock of the Petronas Gas Berhad have the following input values: Stock price = $55 Strike price = $52 Risk-free rate = 0.10 Standard deviation = 0.33 Time to maturity = 0.4 (Assume that no dividends are currently being paid and use BSOPM model) If risk-free rate rises to 0.12, determine the price of a call on Petronas Gas's stock if the other inputs do not change. Assume no dividends. a. $6.80 b. $7.90 c. $7.25 d. $7.61
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter2: Risk And Return: Part I
Section: Chapter Questions
Problem 12P: Stock R has a beta of 1.5, Stock S has a beta of 0.75, the expected rate of return on an average...
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The options on the stock of the Petronas Gas Berhad have the following input values:
Stock price = $55
Strike price = $52
Risk-free rate = 0.10
Standard deviation = 0.33
Time to maturity = 0.4
(Assume that no dividends are currently being paid and use BSOPM model)
If risk-free rate rises to 0.12, determine the price of a call on Petronas Gas's stock if the other inputs do not change. Assume no dividends.
a. $6.80
b. $7.90
c. $7.25
d. $7.61
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