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Suppose you want to value a European put option under the following assumptions: stock price is...

Suppose you want to value a European put option under the following assumptions: stock price is $100, exercise price is $95, interest rate is 10% per year, dividend yield is 0, time to maturity is 3 months, standard deviation is .5 per year. What is the price of this put using Black-Scholes model?A. $4.88 B. $6.35 C. $10.32 D. None of the above

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Option B

jeff jeffy answered 2 years ago
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