Given the following data: Stock price = $50; Exercise price = $45; Risk-free rate = 6%; variance = 0.2 ; Expiration = 3 months. Calculate value of a European call option: [Use Black-Scholes Formula]
A) $7.62
B) $7.90
C) $5.00
D) none of the above
Correct Answer:
Verified
Q20: Suppose Caroll's stock price is currently $20.
Q21: Calculate the value of d2 (approximately).
A) +0.0656
B)
Q22: If the value of d is -0.75,
Q23: If the strike price increases then the:
Q26: If "u" equals the quantity (1 +
Q27: If the volatility (variance) of the underlying
Q28: The Black-Scholes OPM is dependent on which
Q29: Calculate the value of d2: (approximately)
A) -0.02766
B)
Q30: A stock is currently selling for $50.
Q31: If the value of d2 is -0.5,
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