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A second stock has a price given by . 100 + 3. The annual volatility of the stock is 22%. For a strike price given
A second stock has a price given by . 100 + 3. The annual volatility of the stock is 22%. For a strike price given by . 100 + 2 and a risk free rate of 10%, using the Black-Scholes formula find the following:
a) Price of a two period call option.
b) Use the put-call parity to find the price of a two period put option.
c) Find the price of the put option using the Black-Scholes formula for put option. What do you notice?
x=0 y=2
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