Call Option
OC = Ps[N(d 1 )] - S[N(d 2 )]e-rt
OC = 36[.3794] - 40[.3065]e - (.10)(.2466)
OC = $ 1.70Example
What is the price of a call option given the following?
P = 36 r = 10% v = .40
S = 40 t = 90 days / 365
barry
(Barry)
#1