Multiple Choice
Apply the Black-Scholes formula to the pricing of a 6-month call option with an exercise price of $98 on a stock with a current price of $98.The standard deviation of the annual stock return is 32%.The 6-month interest rate is 2.5%.
A) $9.96
B) $8.11
C) $7.47
D) $10.45
Correct Answer:
Verified
Correct Answer:
Verified
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