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Find value of option by black-scholes option pricing model

Lissa Co.'s stock price is currently $26.75. A 6-month call option on Lissa's stock has a strike price of $25 and has an expected volatility of 40% (i.e., expected standard deviation = 40%). The risk-free rate is 6%. According to the Black-Scholes option pricing model, what is the value of the option?

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Finance Basics: Find value of option by black-scholes option pricing model

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Lissa Co.'s stock price is currently $26.75. The risk-free rate is 6%. According to the Black-Scholes option pricing model, what is the value of the option?

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Solution Preview :

Prepared by a verified Expert

Finance Basics: Find value of option by black-scholes option pricing model

Reference No:- TGS0671030

Have a Question? (oR Write a Review)

Recent Questions Asked Finance Basics

Q : Find price of preferred stock that pays dividend

Q : What is the present value of interest tax shields

Q : Determine the inventory cost and the cost of merchandise

Q : No-growth common stock-share of preferred stock

Q : Find value of option by black-scholes option pricing model

Q : The nation hardball by chris matthews

Q : Is esteban performing in a professional manner

Q : Overvaluation of certain assets and liabilities

Q : Value per share of boehm stock

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Solution Preview :

Prepared by a verified Expert

Finance Basics: Find value of option by black-scholes option pricing model

Reference No:- TGS0671030

Recent Questions Asked Finance Basics

Q : Find price of preferred stock that pays dividend

Q : What is the present value of interest tax shields

Q : Determine the inventory cost and the cost of merchandise

Q : No-growth common stock-share of preferred stock

Q : Find value of option by black-scholes option pricing model

Q : The nation hardball by chris matthews

Q : Is esteban performing in a professional manner

Q : Overvaluation of certain assets and liabilities

Q : Value per share of boehm stock

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