Question
3. The market price of a non-dividend-paying stock is $42 and the volatility is 25% per annum. Assume continuously compounded risk-free interest rate is 10%
3. The market price of a non-dividend-paying stock is $42 and the volatility is 25% per annum. Assume continuously compounded risk-free interest rate is 10% per annum.
a) According to BSM model, what is the price of a 6-month European call option on this stock with the strike price of $47?
b) According to BSM model, what is the price of a 6-month European put option on this stock with the strike price of $47?
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AS Accounting For AQA
Authors: David Cox,Michael Fardon
2nd Edition
1905777140, 978-1905777143
