The current stock price of alcoa is 70 and the stock does, Ask an Expert

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The current stock price of Alcoa is $70 and the stock does not pay dividends. The instantaneous risk free rate of return is 6% p.a continuously compounded. The instantaneous standard deviation of Alcoa's stock is 40% p.a. You wish to purchase a call option on this stock with an exercise price of $75 and an expiration date 30 days from now. Based on the Black-Scholes option pricing formula, what is the value of d1 for the option.

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Financial Management, Finance

Category:- Financial Management
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