The options on the stock of the Petronas Gas Berhad have the following input values: Stock price = $55 Strike price = $52 Risk-free rate = 0.10 Standard deviation = 0.33 Time to maturity = 0.4 (Assume that no dividends are currently being paid and use BSOPM model) If risk-free rate rises to 0.12, determine the price of a call on Petronas Gas's stock if the other inputs do not change. Assume no dividends. a. $6.80 b. $7.90 c. $7.25 d. $7.61

The options on the stock of the Petronas Gas Berhad have the following input values: Stock price = $55 Strike price = $52 Risk-free rate = 0.10 Standard deviation = 0.33 Time to maturity = 0.4 (Assume that no dividends are currently being paid and use BSOPM model) If risk-free rate rises to 0.12, determine the price of a call on Petronas Gas's stock if the other inputs do not change. Assume no dividends. a. $6.80 b. $7.90 c. $7.25 d. $7.61

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 25P

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