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4. (5.5 points) The stock price of ABC Corporation is currently S0 = $50. The risk-free interest rate per year is 5.5% The monthly volatility
4. (5.5 points) The stock price of ABC Corporation is currently S0 = $50. The risk-free interest rate per year is 5.5% The monthly volatility of the stock prices is 7.8%. 1) (2 points) What is the price of a European call option(CO) which expires in 2 months, and which has an exercise price of X=$60? 2) (2 points) What is the price of a European put option(PO) which expires in 2 months, and which has an exercise price of X=$60? 3) (1.5 points) Check if the put-call parity hold. 1 5 inputs for B-S So(Current stock price) Tin years) r Sigma(in annual terms) Formulatext d1 d2 N(D1) N(D2) N(-d1) N(-d2) Answer Formulatext 1. Call price, CO Answer Formulatext 2. Put price, PO Answer Formulatext 3. Confirm the put-call parity LHS RHS
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