Option pricing model opm example assume the following

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Option Pricing Model (OPM) Example: assume the following values: S = $100 E = $100 t = 1 year r = 12% σ = 10% Step 1: calculate the values for d 1 and d 2 . 25 . 1 1 . 1250 . 0 1 d t t r E S d 2 1 5 . ) / ln( ) 1 )( 1 (. 1 ) 01 (. 5 . 12 . ) 100 / 100 ln( 1 d t d d 1 2 15 . 1 ) 1 )( 1 (. 25 . 1 2 d
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