On January 20 2021 index is at 800 units. The variance of the index returns is 10% while the risk free interest rate is 2% annually (with compound interest). By using the Black Scholes model, calculate the market purchase rights in the index with exercising price 820 and maturity 1 month (30 days). N (d1) = 0.418 and N(d2) = 0.383. Calculate and choose one of the following: a. 17.1 b. 13.1 c. 21.1 d. 25.1
On January 20 2021 index is at 800 units. The variance of the index returns is 10% while the risk free interest rate is 2% annually (with compound interest). By using the Black Scholes model, calculate the market purchase rights in the index with exercising price 820 and maturity 1 month (30 days). N (d1) = 0.418 and N(d2) = 0.383. Calculate and choose one of the following: a. 17.1 b. 13.1 c. 21.1 d. 25.1
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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D3).
On January 20 2021 index is at 800 units. The variance of the index returns is 10% while the risk free interest rate is 2% annually (with compound interest ). By using the Black Scholes model, calculate the market purchase rights in the index with exercising price 820 and maturity 1 month (30 days). N (d1) = 0.418 and N(d2) = 0.383. Calculate and choose one of the following:
a. 17.1
b. 13.1
c. 21.1
d. 25.1
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