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EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter20: Financing With Derivatives
Section20.A: The Black-scholes Option Pricing Model
Problem 2P
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Maturity
(days) Strike
66
Part1:
SO
620 595.9355586
●
r
(annualized) O
0.056329721 11%
Option
Type
Call
Use the data you are provided with on blackboard to replicate and interpret the following figures
Call price as a function of the current underlying price S0 or put price as a function of the current
underlying price SO depending on the data assigned to you.
Carefully interpret the figures. Make sure you are not simply describing the figures but that you are
answering the question of why we observe the pattern
Transcribed Image Text:Maturity (days) Strike 66 Part1: SO 620 595.9355586 ● r (annualized) O 0.056329721 11% Option Type Call Use the data you are provided with on blackboard to replicate and interpret the following figures Call price as a function of the current underlying price S0 or put price as a function of the current underlying price SO depending on the data assigned to you. Carefully interpret the figures. Make sure you are not simply describing the figures but that you are answering the question of why we observe the pattern
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