Question
Standard Life Aberdeen shares trade at 325, with a 20% annualized returns volatility. The risk free rate is 2% . i. Using the Black-Scholes options
Standard Life Aberdeen shares trade at 325, with a 20% annualized returns volatility. The risk free rate is 2%
. i. Using the Black-Scholes options pricing model calculate the call price for a 3-month European option with a strike price of 320 (show your calculations).
ii. Using the put-call parity calculate the corresponding put price (Show your calculations).
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Personal Finance
Authors: Vickie L Bajtelsmit
2nd Edition
111959247X, 9781119592471
