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Question
An European call option with an exercise price of $50 has a maturity (expiration) of six months, stock price of $54 and the instantaneous variance of the stock returns is 0.64. The risk-free rate is 9.2%.
Calculate the value of d2 (approximately).
A. +0.0656
B. -0.0656
C. +0.5656
D. -0.5656
Answer
This answer is hidden. It contains 96 characters.
Related questions
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Suppose VS's stock price is currently $20. In the next six months it will either fall to $10 or rise to $30. What is the current value of a put option with an exercise price of $15? The six-month risk-free interest rate is 5% (periodic rate).
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