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Valuing a call option using the Black Scholes mode...

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Valuing a call option using the Black Scholes model Current price of of ABZ stock = $50 Exercise or strike price of the call option = $48 The maturity of the option is 0.5 years The annualized variance in the returns on the stock is .20 The risk free rate of interest is 3% per annum What is the value of d2 that should be used when calculating the value of a call option on this stock with the Black- Scholes option pricing model. a. .33464 b. .07483 c. .01842

 

Paper#5560 | Written in 18-Jul-2015

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