The stock of Nugents Nougats currently sells for $54 and has an annual standard deviation of 50 percent. The stock has a dividend yield of 3.2 percent and the risk - free rate is 6 percent. What is the value of a call option on the stock with a strike price of $50 and 40 days to expiration?

The stock of Nugents Nougats currently sells for $54 and has an annual standard deviation of 50 percent. The stock has a dividend yield of 3.2 percent and the risk - free rate is 6 percent. What is the value of a call option on the stock with a strike price of $50 and 40 days to expiration?

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 1P

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Question

The stock of Nugents Nougats currently sells for $54 and has an annual
standard deviation of 50 percent. The stock has a dividend yield of 3.2
percent and the risk - free rate is 6 percent. What is the value of a call option
on the stock with a strike price of $50 and 40 days to expiration?

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