Investor A wants to buy a European call option on Company N's stock. The call has a strike price of $100 and matures in 90 days. The price at t = 0 is $120 and the stock has a volatility of 40%. The risk-free rate is 6.38% per year. • Calculate the call price, using the Black-Sholes formula. • Calculate the put price with the same strike and maturity, using the put-call parity.
Investor A wants to buy a European call option on Company N's stock. The call has a strike price of $100 and matures in 90 days. The price at t = 0 is $120 and the stock has a volatility of 40%. The risk-free rate is 6.38% per year. • Calculate the call price, using the Black-Sholes formula. • Calculate the put price with the same strike and maturity, using the put-call parity.
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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Investor A wants to buy a European call option on Company N's stock. The call has a strike price of $100 and matures in 90 days. The price at t = 0 is $120 and the stock has a volatility of 40%. The risk-free rate is 6.38% per year. • Calculate the call price, using the Black-Sholes formula. • Calculate the put price with the same strike and maturity, using the put-call parity.
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