Consider a European call option on a non-dividend-paying stock when the stock price is $90, the...

Consider a European call option on a non-dividend-paying stock when the stock price is $90, the strike is $92, the risk-free rate is 2% per annum, the volatility is 30% per annum. The option expires in one month.

a) Use the DerivaGem software or the Black-Scholes formula to price the call option above.

b) Use put-call parity (ch10) and result from a) to calculate the price of a European put option with the strike of $92.

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SEE THE IMAGE. ANY DOUBTS, FEEL FREE TO ASK. THUMBS UP PLEASE

jeff jeffy answered 1 year ago

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