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A Company Issues an Option Grant with an Outperformance Feature,against

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A company issues an option grant with an outperformance feature,against the S&P 500.Assume S&P 500 = 950,S = 22,k = 25,σ = 0.25,r = 0.06,and 5 years until expiration.The S&P 500 has a dividend yield of 2%,standard deviation of 18.0% and a 0.30 correlation coefficient with the stock.What is the value of the outperformance feature?


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