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, ? = 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 ?.

Transcribed Image Text:

P P=-SN(-d)+ Xe-" N(-d))는=e-" N(-da)-을N(-d) S X X