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A stocks price variance rate, or sigma 2 , is 2 5 % . The nominal risk - free rate is currently 8 %
A stocks price variance rate, or sigma
is The nominal riskfree rate is currently pa The
companys stock now trades at kshmonth European calls and puts are trading with a
strike price of ksh
Required:
a Calculate the values of d and d Marks
b What is the value of the European call option? Marks
c What is the value of the European put option? Marks
d Verify that the put call parity relation holds. Marks
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