Using Black's approximation to find the current fair values of a 13-month American call option with a strike price of 126.67 on a dividend paying stock trading at a current market price of 126.67, interest rate of 11.33 percent per year, continuously compounded and volatility of 0.83 (as a number, not percent). The stock will go ex-dividend every 3 months starting from time zero and the amount of each quarterly dividend is 4% of the current stock price. Obtain the following fair values of options needed to find Black's approximate American call value:
1. European call option with maturity at first ex-dividend date
2. European call option with maturity at second ex-dividend date
3. European call option with maturity at third ex-dividend date
4. European call option with maturity at fourth ex-dividend date
5. European call option with maturity 13 months
6. Current fair value of American call using Black's approximation
This question was answered on: Oct 07, 2020Buy this answer for only: $15
This attachment is locked
Pay using PayPal (No PayPal account Required) or your credit card . All your purchases are securely protected by .
About this QuestionSTATUS
Oct 07, 2020EXPERT
GET INSTANT HELP/h4>
We have top-notch tutors who can do your essay/homework for you at a reasonable cost and then you can simply use that essay as a template to build your own arguments.
You can also use these solutions:
- As a reference for in-depth understanding of the subject.
- As a source of ideas / reasoning for your own research (if properly referenced)
- For editing and paraphrasing (check your institution's definition of plagiarism and recommended paraphrase).
NEW ASSIGNMENT HELP?
Order New Solution. Quick Turnaround
Click on the button below in order to Order for a New, Original and High-Quality Essay Solutions. New orders are original solutions and precise to your writing instruction requirements. Place a New Order using the button below.
WE GUARANTEE, THAT YOUR PAPER WILL BE WRITTEN FROM SCRATCH AND WITHIN A DEADLINE.