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AMZN shares currently sell for 775 . The stock pays no dividend. The current risk-free rate is 1.50% compounded continuously. You believe AMZN European options,
AMZN shares currently sell for 775 . The stock pays no dividend. The current risk-free rate is 1.50% compounded continuously. You believe AMZN European options, with a strike price of 780 , maturing in 24 trading days, should be selling for an implied volatility of 21%. (Assume there are 252 trading days in a calendar year.) Assuming N(d1)=0.4821, and N(d2)=0.4564, what is the price for a European put option according to the Black-Scholes Merton model? p
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