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a) Consider 3 month options with exercise prices of 45 TL. The variance of the underlying security is 0.20. The risk free interest rate is 6%. The current price of the underlying security is 30 TL. Determine the Black Scholes prices for call and put options.

a) Consider 3 month options with exercise prices of 45 TL. The variance of the underlying security is 0.20. The risk free interest rate is 6%. The current price of the underlying security is 30 TL. Determine the Black Scholes prices for call and put options.

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Question-3 a) Consider 3 month options with exercise prices of 45 TL. The variance of the underlying security is 0.20. The risk free interest rate is 6%. The current price of the underlying security is 30 TL. Determine the Black Scholes prices for call and put options. b) What will be the call price if the stock pays dividends continuously at a rate I proportional to its price and the dividend yield is 3%?
Transcribed Image Text:Question-3 a) Consider 3 month options with exercise prices of 45 TL. The variance of the underlying security is 0.20. The risk free interest rate is 6%. The current price of the underlying security is 30 TL. Determine the Black Scholes prices for call and put options. b) What will be the call price if the stock pays dividends continuously at a rate I proportional to its price and the dividend yield is 3%?
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