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First day's trading of Jan 2023 is 3rd Jan with share price 481.4p Assume that the risk-free interest rate is 2.5% per year. Option strike
First day's trading of Jan 2023 is 3rd Jan with share price 481.4p
Assume that the risk-free interest rate is 2.5% per year. Option strike price K = 530p. Determine the price on the first days trading of Jan 2023 of a European Put option on your share, maturing in 6 months at the strike price K , using the Black-Scholes pricing formula. Use 25% for the annualised volatility of the share. Use a calculator, Statistical Tables and show your working.
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