Problem 10:

0. Black-Scholes What are the prices of a call option and a put option with the following characteristics? StockpriceExercisepriceRisk-freerateMaturityndarddeviation=$86=$90=5%peryear,compoundedcontinuously=4months=48%peryear Stock price =$86 Exercise price =$90 Risk-free rate =5% per year, compounded continuously Maturity =4 months Standard deviation =48% per year