Thu 12 Nov, 2020 05:39 am
Use Black-Scholes to price a call option with spot price $50, strike price $40, volatility 30%, risk-free rate 5%, and maturity equal to a year. Consider the firm pays $2 as dividends 2 months from now, $3 nine months from now, and $5 eighteen months from now. These dividends are risk-free.
Group of answer choices
Here too, option d would be the answer I'd give.