S&P 500 index is now at 3300 and has a volatility of 16% per annum. The exercise price of two-month call and put options is 3330. The dividend yields of 0.4% and 0.7% are expected in the first month and the second month and the risk-free rate of 3.5% per annum. Compute the value of call and put options using Black- Scholes Option Pricing Model.
S&P 500 index is now at 3300 and has a volatility of 16% per annum. The exercise price of two-month call and put options is 3330. The dividend yields of 0.4% and 0.7% are expected in the first month and the second month and the risk-free rate of 3.5% per annum. Compute the value of call and put options using Black- Scholes Option Pricing Model.
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
Problem 1PS
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S&P 500 index is now at 3300 and has a volatility of 16% per annum. The exercise price of two-month call and put options is 3330. The dividend yields of 0.4% and 0.7% are expected in the first month and the second month and the risk-free rate of 3.5% per annum. Compute the value of call and put options using Black- Scholes Option Pricing Model.
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