The current price of a non-dividend-paying stock is $86.78 a…
The current price of a non-dividend-paying stock is $86.78 and the annual standard deviation of the stock’s return is 47%. The risk-free rate is 1.6% (continuously compounded). A European call option on the stock has a strike price of $92 and expires in 1.5 years. A B 1 Inputs 2 Stock price 86.78 3 Exercise price 92 4 Expiration (years) 1.5 5 St.Dev. of returns 0.47 6 Dividend yield 0 7 Risk-free rate 0.016 What should be the price (premium) of an otherwise identical put option according to the Black-Scholes model? Report your answer in two decimal places
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