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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
2
, is 25%. The nominal risk-free rate is currently 8% p.a. The
companys stock now trades at ksh.120.3-month European calls and puts are trading with a
strike price of ksh.128.
Required:
a) Calculate the values of d1 and d2?(6 Marks)
b) What is the value of the European call option? (4 Marks)
c) What is the value of the European put option? (4 Marks)
d) Verify that the put call parity relation holds. (6 Marks)

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