In: Finance
Consider an option on a non-dividend-paying stock that follows a
GBM. The current stock price
is $80, the exercise price is $80, the continuously compounded
risk-free interest rate is 6% per
annua;, the volatility is 30% per annual, and the time to maturity
is one year.
(a) What is the BSM-price of the option if it is a European
call?
(b) What is the BSM-price of the option if it is an American
call?
(c) What is the BSM-price of the option if it is a European
put?
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