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2. A certain share price is 10 today and it can move to either 15 or 8 in six months. The interest rate is
2. A certain share price is 10 today and it can move to either 15 or 8 in six months. The interest rate is 8% continuously compounded and the strike price is 16. (a) Find the fair price for a call and a put option (both having the strike price 16). (b) State the Put-Call parity formula and check that this is true for the values of the call and put option you found at part (a) above.
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To calculate the fair price for a call and put option we can use the BlackScholesMerton model The formula for the fair price of a European call option ...
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Essentials Of Business Analytics
Authors: Jeffrey Camm, James Cochran, Michael Fry, Jeffrey Ohlmann, David Anderson, Dennis Sweeney, Thomas Williams
1st Edition
128518727X, 978-1337360135, 978-1285187273
