Question
The companys stock price is $85 and will have a strike price of $90 in six months. The standard deviation is at 0.50 and risk-free
The companys stock price is $85 and will have a strike price of $90 in six months. The
standard deviation is at 0.50 and risk-free rate is 5%.
Determine the following:
a) the value of the call option
b) value of the put option
c) put-call parity
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The Sterling Bonds And Fixed Income Handbook
Authors: Mark Glowrey
1st Edition
0857190423, 978-0857190420
