Use the Black-Scholes model to value a call option with the following data: Price $34 Exercise price 30 Risk-free rate 0.04 time to expiry 0.5 0.31557 0.099584 0.762113 0.538972 0.777004 0.705047 Post your answer with 2 decimal places 5 0² d1= d2= Nd1= Nd2=

Use the Black-Scholes model to value a call option with the following data: Price $34 Exercise price 30 Risk-free rate 0.04 time to expiry 0.5 0.31557 0.099584 0.762113 0.538972 0.777004 0.705047 Post your answer with 2 decimal places 5 0² d1= d2= Nd1= Nd2=

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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Question

I need solution....

Use the Black-Scholes model to value a call option with the following data:
Price $34
Exercise price 30
Risk-free rate
0.04
time to expiry
0.5
0.31557
0.099584
0.762113
0.538972
0.777004
0.705047
Post your answer with 2 decimal places
5
0²
d1=
d2=
Nd1=
Nd2=

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