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please answer with excel funtions and models 1. The current stock price of a company is $39.25, the continuous annual standard deviation is 47.00%, the
please answer with excel funtions and models
1. The current stock price of a company is $39.25, the continuous annual standard deviation is 47.00%, the exercise price of an European call on the stock is $36.00, the exercise price of an European put on the stock is $36.00, the time to maturity for both options is 0.82 years, the yield on a risk-free Treasury Bill maturing on the same date at the options is 4.23%, and the continuous dividend paid throughout the year at the rate of 2.40% / year rate. Determine the current prices of the call and put. Self study: for options that are written on stocks which continuously pay dividends you better use the Garman - Hohlhagen equation. This unique model (a different version of the Black - Scholes model) works exactly the same here as for foreign currency options, where the domestic interest rate is the risk free i.r, but the foreign interest rate is used as the dividend payout ratio. For further details read: "Options, Futures, and other Derivatives" by John C. Hull. For your convenience, here is the Garman - Hohlhagen equation: 1. The current stock price of a company is $39.25, the continuous annual standard deviation is 47.00%, the exercise price of an European call on the stock is $36.00, the exercise price of an European put on the stock is $36.00, the time to maturity for both options is 0.82 years, the yield on a risk-free Treasury Bill maturing on the same date at the options is 4.23%, and the continuous dividend paid throughout the year at the rate of 2.40% / year rate. Determine the current prices of the call and put. Self study: for options that are written on stocks which continuously pay dividends you better use the Garman - Hohlhagen equation. This unique model (a different version of the Black - Scholes model) works exactly the same here as for foreign currency options, where the domestic interest rate is the risk free i.r, but the foreign interest rate is used as the dividend payout ratio. For further details read: "Options, Futures, and other Derivatives" by John C. Hull. For your convenience, here is the Garman - Hohlhagen equation Step by Step Solution
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