Question
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers
What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.)
| Stock price | = | $70 |
| Exercise price | = | $65 |
| Risk-free rate | = | 4.20% per year, compounded continuously |
| Maturity | = | 4 months |
| Standard deviation | = | 60% per year |
| Call price | $ |
| Put price | $ |
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown, Sanford J. Leeds
11th Edition
1305262999, 1305262997, 035726164X, 978-1305262997
