Question
There is a European call option on a non-dividend-paying stock. The underlying price is stock price is $69, the strike price is $70, the risk-free
There is a European call option on a non-dividend-paying stock. The underlying price is stock price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is six months?
A) In this case,
, 
, 
, 
and 
.
- What is d1 in the Black and Scholes model? What is d2 in the Black and Scholes model?
- What is N(d1) in the Black and Scholes model? What is N(d2) in the Black and Scholes model?
- What is the present value of K?
- What are the prices of call and put?
- What is the probability that the call will be ITM upon expiration?
- What is the probability that the put will be ITM upon expiration?
S0= K= r= = T= S0= K= r= = T=
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Financial Markets And Institutions
Authors: Anthony Saunders, Marcia Cornett
7th Edition
1259919714, 978-1259919718
