(d) The following stock follows the Black-Scholes framework. () Current price is $45 (ii) Pays continuous dividends of 2% per annum (iii) Volatility is 30% per annum (iv) R-F-Ris 5% papc Determine the premium for a 3-month EP0 on a 1- year futures contract on the stock with strike price $50

(d) The following stock follows the Black-Scholes framework. () Current price is $45 (ii) Pays continuous dividends of 2% per annum (iii) Volatility is 30% per annum (iv) R-F-Ris 5% papc Determine the premium for a 3-month EP0 on a 1- year futures contract on the stock with strike price $50

ENGR.ECONOMIC ANALYSIS

14th Edition

ISBN:9780190931919

Author:NEWNAN

Publisher:NEWNAN

Chapter1: Making Economics Decisions

Section: Chapter Questions

Problem 1QTC

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Question

(d) The following stock follows the Black-Scholes framework.
(i)
Current price is $45
(ii)
Pays continuous dividends of 2% per annum
(iii) Volatility is 30% per annum
(iv) R-F-Ris 5% papc
Determine the premium for a 3-month EP0 on a 1- year futures contract on the
stock with strike price $50

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