12. Use the Black-Scholes formula to find the value of the f (a) Time to expiration 1 year (b) Standard deviation 20% per year (c) Exercise price $100 (d) Stock price $100 (e) Interest rate 3%

Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 5P
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12. Use the Black-Scholes formula to find the value of the following put option.
(a) Time to expiration 1 year
(b) Standard deviation 20% per year
(c) Exercise price $100
(d) Stock price $100
(e) Interest rate 3%
Transcribed Image Text:12. Use the Black-Scholes formula to find the value of the following put option. (a) Time to expiration 1 year (b) Standard deviation 20% per year (c) Exercise price $100 (d) Stock price $100 (e) Interest rate 3%
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