10. Note that you can also calculate the Black-Scholes put option premium as a percentage of the...

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10. Note that you can also calculate the Black-Scholes put option premium as a percentage of the exercise price in terms of S/X:

where Implement this in a spreadsheet. Find the ratio of S/X for which C/X and P/X cross when T = 0.5, σ 25%, r =

10%. (You can use a graph or you can use Excel's Solver.) Note that this crossing point is affected by the interest rate and the option maturity, but not by σ.

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Financial Modeling

ISBN: 9780262024822

2nd Edition

Authors: Simon Benninga

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Financial Modeling

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