Use the Black-Scholes model to find the value for a European put option that has an exercise price of $62.00 and four months to expiration. The underlying stock is selling for $63.00 currently and pays an annual dividend of $1.92. The standard deviation of the stock’s returns is 0.21 and risk-free interest rate is 5.0%. (Round intermediary calculations to 4 decimal places. Round your final answer to 2 decimal

Use the Black-Scholes model to find the value for a European put option that has an exercise price of $62.00 and four months to expiration. The underlying stock is selling for $63.00 currently and pays an annual dividend of $1.92. The standard deviation of the stock’s returns is 0.21 and risk-free interest rate is 5.0%. (Round intermediary calculations to 4 decimal places. Round your final answer to 2 decimal

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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