If s 120 k 100 sigma 30 r 0 and delta 008 compute the, Ask an Expert

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If S= $120, K = $100, σ = 30%, r = 0, and δ= 0.08, compute the following:

a. The Black-Scholes call price for 1 year, 2 years, 5 years, 10 years, 50 years, 100 years, and 500 years to maturity. Explain your answer as time to expiration, T, approaches infinity.

b. Change r from 0 to 0.001. Then repeat a. What happens as time to expiration, T, approaches infinity? Explain your answer and include what, if any, accounts for the change.

PLEASE SHOW THE FORMULAS AND ALL STEPS. FORMULAS IN EXCEL ARE ACCEPTABLE.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92434030

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