Multiple Choice
The underlying stock for a European exchange option has S = $27.15,div = 2.0%,and ?σ = 0.18.The strike stock has S = $30.00,div = 0.0%,and σ = 0.22.The two stocks have a correlation coefficient of 0.73.If the exchange option expires in 2 years,what is the price of the call using a Black-Scholes approach?
A) $0.88
B) $0.98
C) $1.09
D) $1.19
Correct Answer:
Verified
Correct Answer:
Verified
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