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Estimate the expected price of the abc stock six months

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Reference no: EM132965060

Based on today's quote for ABC stock and option with 6 months to expiration:

Current stock price for ABC: 100

Stock pays no dividends.

Strike price of call option: 97

Annual risk-free rate: .03

Expected return of stock (arith mean): .12

Standard deviation (volatility) of annualized return: .3

Market price of call option: 10

Problem 1: Using the same data for ABC from above. Estimate the expected price of the ABC stock 6 months from now using the continuous return approach. (ignore Binomial Model)

Reference no: EM132965060

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