Let S $100, K $90, 30 , r 8 , 5 , and T 1 a What is the Black Scholes call price b Now price a put where S $90, K $100, 30 , r 5 , 8 , and T 1 c What is the link between your answers to (a) and (b) Why ...

a C100 90 03 008 1 005 176988 b P 90 100 03 005 1 008 176988 c The prices ar ...

Let S = $100, K = $90, = 30%, r = 8%, = 5%, and

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Let S = $100, K = $90, σ = 30%, r = 8%, δ = 5%, and T = 1.
a. What is the Black-Scholes call price?
b. Now price a put where S = $90, K = $100, σ = 30%, r = 5%, δ = 8%, and T = 1.
c. What is the link between your answers to (a) and (b)? Why?

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:07 AM

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Let S = $100, K = $90, = 30%, r = 8%, = 5%, and

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a C100 90 03 008 1 005 176988 b P 90 100 03 005 1 008 176988 c The prices ar...View the full answer

Derivatives Markets

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