... = 1100, S = 46, k = 45, σ = 0.30, r = 0.04, and 10 years until expiration. The S&P 500 has a dividend yield of 2.5%, standard deviation of 20.0% and a 0.45 correlation coefficient with the stock. What is the value of the outperformance option?
A company issues an option grant with an outperformance feature, against the S&P 500. Assume S&P 500
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- 3+ months ago by gabriel o...
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- company, year, grant, standard, against, yield, issue, years, standard deviation
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