1. Exercice 35
S0 = 42 K = 40 r = 0, 1 σ = 0, 2 t = 0, 5
1 42 0, 22
d1 = ln + 0, 1 + · 0, 5 0, 7693
0, 2 × 0, 5 40 2
d2 = 0, 7693 − 0, 2 · 0, 5 0, 6278
(d1 ) = normalcdf (−E99, 0.7693) 0, 7791
(d2 ) = normalcdf (−E99, 06278) 0, 7349
C = 42 × 0, 7791 − 40 × e−0,1×0,5 × 0, 7349 4, 76