Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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Transcribed Image Text:Using the Black-Scholes formula find the price of a
$50 strike price European call option expiring in 6
months. The current price of the underlying stock
is $45 and its return volatility is 20%. The
continuously compounding risk-free rate is 3%.
Select one:
O A. $0.91
O B. $2.01
O C. $1.25
O D. None of the options are correct
O E. $1.05
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