Consider an option on a stock when the stock price is $41, the strike price is $40,
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Consider an option on a stock when the stock price is $41, the strike price is $40, the risktree rate is 6%, the volatility is 35%, and the tit to'Inaturity is one year. Assume that a dividend of $0.50 is expected after six months.
a. Use DerivaGem to value the option assuming it is a European call.
b. Use DerivaGem to value the option assuming it is a European put.
c. Verify that put—call parity holds. POL78
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