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elf_fu elf_fu
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7 years ago
Assume S = $60, K = $65, σ = 0.15, r = 0.05, T - t = 122 days, div = 0.015, and a jump probability = 0.003. What is the value of a call?
A) $0.67
B) $1.67
C) $2.67
D) $3.67
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Derivatives Markets

Derivatives Markets


Edition: 3rd
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phuongha2892phuongha2892
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#1
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7 years ago
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elf_fu Author
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7 years ago
Thank you, thank you, thank you!
Roselalo
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Correct Slight Smile TY
TAT1238
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Thanks
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