Assume the following data: Stock price = $50; Exercise price = $45; Risk-free rate = 6% per year; Continuously compounded variance = 0.2; Expiration = three months.Calculate the value of a European call option.(Use the Black-Scholes formula.)
A) $7.62
B) $7.90
C) $5.00
D) $5.92
Correct Answer:
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Q22: If e is the base of natural
Q31: Important assumptions justifying the Black-Scholes formula include:
I.The
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Q34: All else equal,if the volatility (variance)of the
Q38: Calculate the value of d2.
A)+0.0657
B)-0.0657
C)+0.5657
D)-0.5657
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Q39: If the value of d1 is 1.25,then
Q40: Calculate d1.
A)0.0226
B)0.175
C)-0.3157
D)0.3157
Q57: Which of the following statements about implied
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