Question
Code the formula for both the Black Scholes put and call into Excel. For the N(d) functions, use NORMDIST(d,0,1,1). a) Find the price of a
Code the formula for both the Black Scholes put and call into Excel. For the N(d) functions, use NORMDIST(d,0,1,1).
a) Find the price of a call option and put option with the following characteristics: K = $28 = 17% S0 = $28 r = 2% T = 1 year Answer: c = $2.168, p = $1.614
b) Check to see that the prices from problem 1) obey put-call parity
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20 Forex Trading Strategies Collection
Authors: Thomas Carter
1st Edition
1500938599, 978-1500938598
