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Black-scholes price a call option

 
 
Lisanne
 
Reply 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
a) 9.24
b) 9.14
c) 13.20
d) 5.97
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Sturgis
 
  1  
Reply Thu 12 Nov, 2020 02:43 pm
@Lisanne,
Here too, option d would be the answer I'd give.
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