Using the black scholes model 8a. Calculate the value of a 6-month share or nothing call...

Using the black scholes model

8a. Calculate the value of a 6-month share or nothing call option on the asset that has a strike price of 80. b. Calculate the value of a 6-month share or nothing put option on the asset that has a strike price of 80.

assume the current spot price of the underlying assets is 77.50, its cash yield is 0.45%, its standard deviation is 0.725, and the risk free interest rates is 2.0%.

Expert Solution

ANSWER IN THE IMAGE((YELLOW HIGHLIGHTED). FEEL FREE TO ASK ANY DOUBTS. THUMBS UP PLEASE.

1. Call

2. Put.

formula:

jeff jeffy answered 2 years ago

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