A European call option was written on the non-dividend paying shares of firm X. The option...

A European call option was written on the non-dividend paying shares of firm X. The option has an exercise price of $51 and expires in 142 days. The underlying shares of firm X currently sell for $49.28 and the standard deviation of their continuously compounded returns is 22%. The annual riskless rate is 1.75%.

A. Using the Black Scholes model, what is the value of the call option. Assume a 365 day year.

B. Using the put call parity relationship, estimate the value of a put option with the same exercise and maturity as the call.

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

jeff jeffy answered 6 months ago

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