Formula C = N(d1)St – N(d2)Ke t In 옷 + (r+ 을) -rt - where di and d2 = di – ovt C = call option price N = CDF of the normal distribution St = spot price of an asset K = strike price r = risk-free...


Using the attached option pricing model and related data K = 45; St = 40 t = 4/12; r =03; SD/σ = 0.4; N = 0.07, calculate the value of the call option


Formula<br>C = N(d1)St – N(d2)Ke t<br>In 옷 + (r+ 을)<br>-rt<br>-<br>where di<br>and d2 = di – ovt<br>C = call option price<br>N = CDF of the normal distribution<br>St = spot price of an asset<br>K = strike price<br>r = risk-free interest rate<br>t = time to maturity<br>O = volatility of the asset<br>

Extracted text: Formula C = N(d1)St – N(d2)Ke t In 옷 + (r+ 을) -rt - where di and d2 = di – ovt C = call option price N = CDF of the normal distribution St = spot price of an asset K = strike price r = risk-free interest rate t = time to maturity O = volatility of the asset

Jun 05, 2022
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