Use black-scholes pricing formulae to determine value of x

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A building society issues a one-year bond that entitles the holder to the return on a weighted-average share index (ABC500) up to a maximum level of 30% growth over the year. The bond has a guaranteed minimum level of return so that investors will receive at least x% of their initial investment back. Investors cannot redeem their bonds prior to the end of the year.

Problem 1: The volatility of the ABC500 index is 30% pa and the continuously compounded risk-free rate of return is 4% pa . Assuming no dividends, use the Black-Scholes pricing formulae to determine the value of x (to the nearest 1%) that the building society should choose to make neither a profit nor a loss.

Reference no: EM132781353

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