Question
In: Finance
Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The...
Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The call has a strike price of $ 97.00 $97.00 and expires in 93 93 days. The current price of Up stock is $ 119.82 $119.82, and the stock has a standard deviation of 43 % 43% per year. The risk-free interest rate is 6.06 % 6.06% per year. Up stock pays no dividends. Use a 365-day year. a. Using the Black-Scholes formula, compute the price of the call. b. Use put-call parity to compute the price of the put with the same strike and expiration date. (Note: Make sure to round all intermediate calculations to at least five decimal places.) a. Using the Black-Scholes formula, compute the price of the call. The price of the call is $ nothing . (Round to two decimal places.)
Solutions
Expert Solution
ANSWER IN THE IMAGE((YELLOW HIGHLIGHTED). FEEL FREE TO ASK ANY DOUBTS. THUMBS UP PLEASE.
1. CALL PRICE:
2.PUT
PRICE:
FORMULA:
jeff jeffy answered 2 years agoRelated Solutions
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