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pleaser answer all parts of the question. 6. (15 points) Mario Pavarotti is considering purchasing a 9-month $134.56 Strike Call option on a non-dividend paying
pleaser answer all parts of the question. 6. (15 points) Mario Pavarotti is considering purchasing a 9-month $134.56 Strike Call option on a non-dividend paying stock. The continuously compounded risk free rate is 2.7%. The stock is currently selling for 155.75 and has a volatility of 24%. Part (a) Compute the following: (i) d (ii) d2 (iii) N(d) (iv) N(d) (v) Call Price Lucia Pavarotti is considering purchasing a 3-month $104.57 Strike Put option on a non- dividend paying stock. The continuously compounded risk free rate is 2.3%. The stock is currently selling for 143.31 and has a volatility of 33%. Part (b) Compute the following: (i) d, (ii) d, (iii) N(-d.) (iv) N(-d) (v) Put Price Problem S X Stock Price Exercise Price Risk Free rate Time to Maturity of option (years) Stock Volatility r T Sigma 8 1 d1 12 TV N(dl) N(2) Call Price Vi + Pide P2 P3 P4 P5 PGa P6b Macros D E F H A B Problem 6 1 S od N- Stock Price Exercise Price Risk Free rate Time to Maturity of option (years) Stock Volatility X r T Sigma 10 b 11 di 12 13 14 d2 N-d1) N-d2) Put Price IV Vil 15 16 17 18 19 20 21 22 23 24 26 26 27 28 29 30 31 32 33 34 35 36 37 38 39 Pide P2 P3 P4 P5 PGa P6b Macros
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