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Suppose the Black-Scholes-Merton formula gives the price of a one-year European call as $15.36. The interest rate is 6%, there are no dividends. The stock

Suppose the Black-Scholes-Merton formula gives the price of a one-year European call as $15.36. The interest rate is 6%, there are no dividends. The stock price is $101 and the strike price is $100. What is the value of a one-year European put with the same strike price?

  • A. P = C = $15.36.
  • B. P = $0 since S > X.
  • C. P = C-S+X*e^(-r*T) = $8.54
  • D. We need the volatility.

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