Assume that prices for a non-dividend-paying stock follow the lognormal model. The current price of the stock is 145. The stock has a volatility of 25%. You are given that for a 2-year, at-the-money call. Calculate the expected payoff of this call
Assume that prices for a non-dividend-paying stock follow the lognormal model. The current price of the stock is 145. The stock has a volatility of 25%. You are given that for a 2-year, at-the-money call. Calculate the expected payoff of this call
Practical Management Science
6th Edition
ISBN:9781337406659
Author:WINSTON, Wayne L.
Publisher:WINSTON, Wayne L.
Chapter11: Simulation Models
Section11.3: Financial Models
Problem 26P
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Assume that prices for a non-dividend-paying stock follow the lognormal model. The current price of the stock is 145. The stock has a volatility of 25%. You are given that for a 2-year, at-the-money call. Calculate the expected payoff of this call. [DM_05d_05]
Group of answer choices
46.88
50.04
59.51
56.35
53.20
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