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Use the Black-Scholes model to estimate the price of a call option. (7p) Here are the input. S = 40, E = 35, t =
Use the Black-Scholes model to estimate the price of a call option. (7p) Here are the input. S = 40, E = 35, t = 6 month, Rf = 8% = 0.08, = std = 0.31557. b) What is the price of a put option? (3p) c. Handelsbanken put option and a call option with an exercise price of USD 1 and 3 months to expiration sell for USD 0.28(put) and USD 0.11 (call). If the risk-free interest rate is 2.5% per year, what is the current share price?
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