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You are given the following information on some company's stock, as well as the ris free asset. Use it to calculate the price of the call option written on that stock, as well a the price of the put option. (HINT: You should use the Black-Scholes formula!) (Do n round intermediate calculations and round your final answers to 2 decimal place e.g., 32.16.) Today's stock = = $77 price Exercise price = $75 Risk-free rate = Option maturity = 5 months Standard deviation of 500 3.4% per year, compounded continuously

You are given the following information on some company's stock, as well as the ris free asset. Use it to calculate the price of the call option written on that stock, as well a the price of the put option. (HINT: You should use the Black-Scholes formula!) (Do n round intermediate calculations and round your final answers to 2 decimal place e.g., 32.16.) Today's stock = = $77 price Exercise price = $75 Risk-free rate = Option maturity = 5 months Standard deviation of 500 3.4% per year, compounded continuously

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
Problem 1PS
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3 You are given the following information on some company's stock, as well as the risk- free asset. Use it to calculate the price of the call option written on that stock, as well as the price of the put option. (HINT: You should use the Black-Scholes formula!) (Do not round intermediate calculations and round your final answers to 2 decimal places, e.g., 32.16.) Today's stock - $77 price = Exercise price = $75 Risk-free rate = Option maturity = 5 months Standard deviation of annual stock returns Call price Put price $ $ 3.4% per year, compounded continuously = 59% per year 3.61 x 0.56 X 1
Transcribed Image Text:3 You are given the following information on some company's stock, as well as the risk- free asset. Use it to calculate the price of the call option written on that stock, as well as the price of the put option. (HINT: You should use the Black-Scholes formula!) (Do not round intermediate calculations and round your final answers to 2 decimal places, e.g., 32.16.) Today's stock - $77 price = Exercise price = $75 Risk-free rate = Option maturity = 5 months Standard deviation of annual stock returns Call price Put price $ $ 3.4% per year, compounded continuously = 59% per year 3.61 x 0.56 X 1
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