You purchase a call option for $10.74 with 24 months to expiration on a stock you expect to increase in value.0.00% The strike price of the option is $42.50 The stock is currently priced at $42.50. Its standard deviation is 38.00% It pays a 0.00% dividend. The risk-free rate is 5.00% If the stock is exactly where it is today, Le. SO-ST, 12 months from now, what is the change in option value as a percent (or decimal)? Use these values as a part of your calc's: N(d1) 0.62611 N(12) 0.47671

You purchase a call option for $10.74 with 24 months to expiration on a stock you expect to increase in value.0.00% The strike price of the option is $42.50 The stock is currently priced at $42.50. Its standard deviation is 38.00% It pays a 0.00% dividend. The risk-free rate is 5.00% If the stock is exactly where it is today, Le. SO-ST, 12 months from now, what is the change in option value as a percent (or decimal)? Use these values as a part of your calc's: N(d1) 0.62611 N(12) 0.47671

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section20.A: The Black-scholes Option Pricing Model

Problem 1P

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