Question
Black-Scholes Formula (Application). Suppose that a stock price obeys a geometric Brownian motion with current price $60. Consider a European call option with maturity 1
Black-Scholes Formula (Application).
Suppose that a stock price obeys a geometric Brownian motion with current price $60. Consider a European call option with maturity 1 year and the strike price $68. The risk-free interest rate is 6% per annum, and the volatility is 10% per annum.
Consider a European put option with the same expiration time T = 1 and same strike price K = $68, what is the fair premium for the corresponding put?
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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
