Question
Consider an option on a non-dividend-paying stock when the stock price is $40, the strike price of $38, the risk-free interest rate is 10% per
Consider an option on a non-dividend-paying stock when the stock price is $40, the strike price of $38, the risk-free interest rate is 10% per annum, the volatility is 35% per annum, and the time to maturity is three months. (a) What is the price of the option if it is a European call? (b) What is the price of the option if it is a European put?
Please show work not using excel
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International Finance The Markets And Financial Management Of Multinational Business
Authors: Maurice D. Levi
3rd Edition
0070376875, 978-0070376878
