A stock is trading at $95. The exercise price of its call option is 11% below the trading price of the stock. The expira
Posted: Wed May 18, 2022 11:24 pm
A stock is trading at $95. The exercise price of its call option
is 11% below the trading price of the stock. The expiration is six
months. The variance of the stock return is .0144. The annual
interest rate is 10%. There is no dividend involved. In this case,
according to B&S model, the price of the call option should
be
is 11% below the trading price of the stock. The expiration is six
months. The variance of the stock return is .0144. The annual
interest rate is 10%. There is no dividend involved. In this case,
according to B&S model, the price of the call option should
be