We know that the present value of a share is ($ 40) and that after one month

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We know that the present value of a share is $\$ 40$ and that after one month it will be $\$ 42$ or $\$ 38$. The risk-free interest rate is $8 \%$ per year continuously compounded.

(a) What is the value of a European Call option that expires in one month, with strike price $\$ 39$ ?

(b) What is the value of a Put option with the same strike price?

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Quantitative Finance

ISBN: 9781118629956

1st Edition

Authors: Maria Cristina Mariani, Ionut Florescu

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Question Posted: Apr 20, 2024 05:57 AM

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We know that the present value of a share is ($ 40) and that after one month

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To calculate the value of options we can use the principles of option pricing specifically the BlackScholes model ...View the full answer

Quantitative Finance

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