Stock Price (S) = 50 Exercise Price (E) = 45 Risk-free rate (r) = 0.06 Variance (sd) = 0.2 Time in years (t) = 0.25 Using Example 5 as the base case, find the value of the call for a range of maturities say from 1 month to 12 months. Plot these values in excel.
Stock Price (S) = 50 Exercise Price (E) = 45 Risk-free rate (r) = 0.06 Variance (sd) = 0.2 Time in years (t) = 0.25 Using Example 5 as the base case, find the value of the call for a range of maturities say from 1 month to 12 months. Plot these values in excel.
Chapter9: Forecasting Exchange Rates
Section: Chapter Questions
Problem 6BIC
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Question
Example 5:
Stock Price (S) = 50
Exercise Price (E) = 45
Risk-free rate (r) = 0.06
Variance (sd) = 0.2
Time in years (t) = 0.25
Using Example 5 as the base case, find the value of the call for a range of maturities say
from 1 month to 12 months. Plot these values in excel.
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