The formula for Black-Scholes is:
C = SN (d1) -- X (e-rt) N (d2)
In this case, S = 432, X = 235, r = 3.7%, t = 43 days.
D1 = 2.23, so N (d1) = .9871; D2 = 1.95, so N (d2) = .974. Therefore C =
432(.9871) -- 235 (.99559)(.974) = 189p
ii) a) The annualized volatility of Tate & Lyle is calculated by the square root of time rule. Thus = .8177(?250) = 12.92%
The continuously generated risk free rate is the logarithm of the nominal risk free rate. In this case, the continuously generated risk free rate is R= ln (1+3.7) = 3.6332%
b) There are two main reasons for the differences between the firm's observed equity volatility and the volatility of its underlying revenue generation. One is that stock prices are forward looking, while revenue generation is backward looking. Market sentiment towards the company can be impacted by its past performance, but the correlation between the two will always be imperfect.
Another key difference is that revenue generation does not translate evenly into equity for shareholders. The firm's capital structure, its operating costs, its taxation rates and a number of other variables all impact on the degree to which revenues flow through to shareholders. The market only measures the value of the equity, not the value of the entire firm.
c) To account for the effects of the dividend, the current share price must be reduced by the amount of the expected dividend. In this case, the expected dividend is 2.268p, so the price should be set to 420.73.
Thus, we have 420.73(.584683) - 423 (177.106)
The price of a call option therefore is 68.83p.
Using put-call parity,...
Putting the defendant in jail for life is, simply put, a violation of the Eighth Amendment - cruel and unjust punishment. King Brothers Case This case followed directly on the heels of the Tate case, but provides less of a defense to the children here. It is undisputed that the children knew what they were doing when they helped to murder their father. Unlike the Tate case, there is no debate about
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The solution was to reduce processing and manufacturing costs (Lynch, 1998) Patents: Tate & Lyle got their products licensed and obtained patents for them; this strategy was highly useful when the demand for one of the company's sweeteners increased and the company was the only one with rights to produce it (Lynch, 1998) Despite the expected beneficial results, the company's international expansion failed to deliver the foreseen growth as its profitability
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