0
   

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
  • Topic Stats
  • Top Replies
  • Link to this Topic
Type: Question • Score: 0 • Views: 2,533 • Replies: 1
No top replies

 
Sturgis
 
  1  
Reply Thu 12 Nov, 2020 02:43 pm
@Lisanne,
Here too, option d would be the answer I'd give.
0 Replies
 
 

Related Topics

Where is the US economy headed? - Discussion by au1929
Shopping Around For Loans - Question by Brandon9000
What is greed? - Discussion by Robert Gentel
bonds series h - Question by allen russell
Naked Short Selling - Question by optimus cubed
HOW TO GET WEALTHY - Discussion by farmerman
 
  1. Forums
  2. » Black-scholes price a call option
Copyright © 2024 MadLab, LLC :: Terms of Service :: Privacy Policy :: Page generated in 0.06 seconds on 12/05/2024 at 10:20:38