b. What is the price of a European call option on a non‐dividend‐paying stock with the...

b. What is the price of a European call option on a non‐dividend‐paying stock with the stock price is £73, with a strike price is £73, volatility is 40% pa. risk‐free interest rate is 10% pa, and the time to maturity is 6 months?

c. Without applying the Black‐Scholes model, what is the price of a 6 month European put on the same stock in b) with strike price of £70

If possible, please provide a detailed step by step and include the explanation of variables of the formula as I would like to fully understand and not just copy answers. Thank you :)

Solutions

Expert Solution

b. 11.8036

c. 6.8441

jeff jeffy answered 1 year ago

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