Assume S = $60,K = $65,σ = 0.15,r = 0.05,T - t = 122 days,div = 0.015,and a jump probability = 0.003.What is the value of a call?

Name: Assume S = $60,K = $65,σ = 0.15,r = 0.05,T - t = 122 days,div = 0.015,and a jump probability = 0.003.What is the value of a call?
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Question

Quizplus · Accepted Answer

Using the Merton Jump Diffusion model and a Monte Carlo simulation with 10,000 trials, the estimated value of the call is $0.67.