题目内容
The current price of a stock is ＄25. A put option with a ＄20 strike price that expires in six months is available. $N(d_1)$ = 0.9737 and $N(d_2)$ = 0.9651. If the underlying stock exhibits an annual standard deviation of 25%, and the current continuously compounded risk-free rate is 4.25%, the Black-Scholes-Merton value of the put is closest to:
查看答案
搜索结果不匹配？点我反馈
更多问题
Consider a 1-year European call option with an exercise price of EUR 70. The price of the underlying non-dividend-paying stock is EUR 75 and the annual risk-free rate is 4%. The following estimates have been made:Black-Scholes-Merton model $N(d_1)$ = 45%Risk-neutral probability of not exercising the call option at maturity = 63%Which of the following is closest to the price if the call option?
The stock is trading at USD20.TheEuropeancallonthe USD10 strike expiring in 1 months is actively trading at USD 9. What trade do you want to execute?
How is historical trading-day volatility measured?Step 1:A) Calculate the absolute change in closing prices as the data set.B) Calculate the percentage change in closing prices as the data set.Step 2:C) Calculate the standard deviation of the data set.D) Calculate the variance of the data set.Step 3:E) Multiply it by$\sqrt{252}$.F) Multiply it by$\sqrt{365}$.
When would you want to early exercise an American call?
微信支付 
支付宝支付