Assume the price of an non-dividend stock is $40, the annual volatility of the stock is 20% , and the continuous compound risk-free interest rate is 5%. What's the price of a European put option on this stock with delivery price of $40 with 1-year expiration ? (The standard normal distribution table is in the attachment or you can use excel function NORMSDIST, and please keep the results with 3 decimal places.) (BS Model-Option Pricing)

Assume the price of an non-dividend stock is $40, the annual volatility of the stock is 20% , and the continuous compound risk-free interest rate is 5%. What's the price of a European put option on this stock with delivery price of $40 with 1-year expiration ? (The standard normal distribution table is in the attachment or you can use excel function NORMSDIST, and please keep the results with 3 decimal places.) (BS Model-Option Pricing)

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter2: Risk And Return: Part I

Section: Chapter Questions

Problem 4P: An analyst has modeled the stock of a company using the Fama-French three-factor model. The market...

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