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elf_fu elf_fu
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7 years ago
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
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Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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elf_fu Author
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6 years ago
Heavy Heart Correct
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