Question

In: Finance

You are about to calculate the value of a call option on shares. You have the...

You are about to calculate the value of a call option on shares. You have the following information. The share price is 49 SEK, The exercise price is 50 SEK.

The risk free interest rate is 3% and the time to maturity is 3 month.

d1=0.7 and d2=0.5.

a. What is N(d1) and N(d2)? (2p)

b. What is the value of the call option? (6p)

c. With the same information. What is the value of the put option? (4p)

Solutions

Expert Solution

a) N(d1) = 0.2580, N(d2) = 0.1915

b) Value of call option = 3.1388

c) Value of put option = 3.7638


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