Transcribed Image Text
Gary Levin is the chief executive officer of MountainbrookTrading Company. The board of directors has just granted Mr. Levin12,000 at-the-money European call options on the company’s stock,which is currently trading at $120 per share. The stock pays nodividends. The options will expire in five years and the standarddeviation of the returns on the stock is 56 percent. Treasury billsthat mature in five years currently yield a continuously compoundedinterest rate of 4 percent. a. Use the Black-Scholes model tocalculate the value of the stock options.
Other questions asked by students
Statistics
Medical Sciences
Psychology
Algebra
Accounting