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N(d1) = N(0.2015) = 0.5799
N(d2) = N(-0.025) = 0.4901
Step 5: Plug into the Black-Scholes formula
Option value = [ delta · share price ] – [ bank loan ]
= [ N(d1) · P ]
– [ N(d2) · PV(EX) ]
= [ 0.5799 · 400]
– [ 0.4901 · 392.08 ]
= 39.8 Thus, the value of the 6-month call on the Google stock is equal to $39.8 Brain power
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This note was uploaded on 10/26/2012 for the course 19 19 taught by Professor - during the Spring '12 term at Sunway University College.
- Spring '12