Question
PLEASE SHOW ALL WORK! The stock price five months from the expiration of an option is $42, the exercise price of the option is $40,
PLEASE SHOW ALL WORK!
The stock price five months from the expiration of an option is $42, the exercise price of the option is $40, the continuously compounded risk-free interest rate is 11% per annum, and the volatility is 21% per annum.
a. Calculate the price of the option if it is a European call.
b. Calculate the price of the option if it is a European put.
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Restructuring And Innovation In Banking
Authors: Claudio Scardovi
1st Edition
331940203X, 978-3319402031
