(Call and put valuation) Consider a European put and a European call, both traded on a stock...

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(Call and put valuation) Consider a European put and a European call, both traded on a stock whose current price is $80 per share. The stock’s return has volatility σ = 40%, the time to maturity of both options is 9 months, and the interest rate r = 6%. For what exercise price X are the Black–Scholes put and call prices equal?

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Principles Of Finance Wtih Excel

ISBN: 9780190296384

3rd Edition

Authors: Simon Benninga, Tal Mofkadi

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