问题如下:
An analyst wants to calculate the value of 1-year European call option using BSM formula. He has collected below information: current stock price is $90, exercise price is $75, continuously compounded risk-free rate is 4%, annual volatility is 20%. What is the value of the call option? N(-1.21) =0.1131; N(-1.01) =0.1562
选项:
A. $11.08.
B. $13.28.
C. $19.02.
D. $20.39.
解释:
C is correct.
考点:BSM Model
解析:根据已知条件,可以将BSM模型的参数归纳如下:
S0 =$90; X=$75; r=4% T=1 and σ=20%
d2=1.21161-0.20×1=1.01161
从累积概率分布表中查询可以得到
N(d1)=0.8869
N(d2)=0.8438
这题没有给出哪个是N(-d1)哪个是N(-d2)