The current stock price of Johnson & Johnson (JSJ) is 4 fi 78, and the...
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The current stock price of Johnson & Johnson (JSJ) is 4 fi 78, and the stock does not pay dividends. The instantaneous risk-free rate of return is 6%. The instantaneous standard deviation of J\&J's stock is 30%. You want to purchase a put ontion an this stock with an exercise price of $171 and an expiration date 60 days from now. Assume 365 days in a year. With this information, you calculate the probability that a random draw from a standard normal distribution will be less that d1, aka N(d1), as 0.6 as 45 and the N(d2) as 0.63687 Using Black-Scholes, the put option should be worth today
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