Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is

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Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5%, the volatility is 25% per annum. the time to maturity is 4 months. and

(a) What is the price of the option if it is a European call?

(b) What is the price of the option if it is an American call?

(c) What is the price of the option if it is a European put?

(d) Verify that put-call party holds.

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Options Futures And Other Derivatives

ISBN: 9780131499089

6th Edition

Authors: John Hull

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Question Posted: Oct 19, 2024 06:01 AM

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Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is

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Options Futures And Other Derivatives

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