Title: A company issues an option grant with an outperformance feature, against the S&P 500. Assume ... Post by: elf_fu on Jul 6, 2017 A company issues an option grant with an outperformance feature, against the S&P 500. Assume S&P 500 = 1100, S = 46, k = 45, σ = 0.30, r = 0.04, and 10 years until expiration. The S&P 500 has a dividend yield of 2.5%, standard deviation of 20.0% and a 0.45 correlation coefficient with the stock. What is the value of the outperformance option?
A) $11.92 B) $15.99 C) $19.75 D) $21.05 Title: Re: A company issues an option grant with an outperformance feature, against the S&P 500. Assume ... Post by: phuongha2892 on Jul 6, 2017 Content hidden
Title: Re: A company issues an option grant with an outperformance feature, against the S&P 500. Assume ... Post by: elf_fu on Sep 13, 2017 :heart: Correct
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