
Financial Risk Manager Part 1
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A European call option has a time to maturity of six months on a stock with a 2% dividend yield. The current stock and strike prices are both $50. The volatility of the stock is 18% per annum. The risk-free rate is 4%. What is the price of the call option?
A European call option has a time to maturity of six months on a stock with a 2% dividend yield. The current stock and strike prices are both $50. The volatility of the stock is 18% per annum. The risk-free rate is 4%. What is the price of the call option?
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