题目内容
An analyst wants to price a 1-year, European-style call option on company REX’s stock using the Black-Scholes-Merton (BSM) model. REX announces that it will pay a dividend of USD 1.25 per share on an ex-dividend date 1 month from now and has no further dividend payout plans. The relevant information for the BSM model inputs are in the following table.Current stock price (S0 ): USD 60Stock price volatility (σ ): 12% per yearRisk-free rate (r): 3.5% per yearCall option exercise price (K): USD 60$N(d_1)$: 0.570143$N(d_2)$ 0.522623What is the price of the 1-year call option on the stock?
查看答案
搜索结果不匹配？点我反馈
更多问题
A foreign currency is valued at ＄200.71. The foreign currency has a European call option market price of ＄13.55 and a strike price of ＄225. In the US, the risk-free interest rate is 4% per annum and 7% per annum in the foreign country. Determine the price of a European put option with a 1-year maturity for the foreign currency.
If a bank manager wants to protect the bank against losses that would be incurred on its portfolio of treasurysecurities should interest rates rise, he could
An investor writes a put option on FTSE 100 Index futures. Which of the following best describes the investor’s position with respect to the put contract and her exposure to the underlying index future, respectively?
In what way is the payoff of a forward rate agreement (FRA) most likely different from the payoff of an interest rate option?
微信支付 
支付宝支付