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Question
Use the following information to answer the following question(s).Valuing a call option using the Black Scholes model
Current price of of ABZ stock = $50
Exercise or strike price of the call option = $48
The maturity of the option is 0.5 years
The annualized variance in the returns on the stock is .20
The risk free rate of interest is 3% per annum
What is the value of d2 that should be used when calculating the value of a call option on this stock with the Black- Scholes option pricing model.
A) .33464
B) .07483
C) .40822
D) .01842
Answer
This answer is hidden. It contains 1 characters.
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