Asume sigma015 nu010 and current stock price 32 monthly


Assume sigma=0.15, nu=0.10, and current stock price $32. Monthly interest rate is 1%. Compute present values of the following options expiring in 3 months. A European call option with strike $30, assuming $2 dividend in 40 days (non recombining dividend tree)

Solution Preview :

Prepared by a verified Expert
Finance Basics: Asume sigma015 nu010 and current stock price 32 monthly
Reference No:- TGS01183021

Now Priced at $10 (50% Discount)

Recommended (99%)

Rated (4.3/5)