Question

What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your final answers to 2 decimal places. (e.g., 32.16))

Stock price	=	$85
Exercise price	=	$80
Risk-free rate	=	3.80% per year, compounded continuously
Maturity	=	5 months
Standard deviation	=	55% per year

Call price	$
Put price	$

Answer 1

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

DERIVATIVES BINOMIAL - Microsoft Excel (Product Activation Failed) View Add-Ins - 2x Σ AutoSum : A Dr General Fill Wrap Text FMerce Merge & Center Center Z Tu s $ - % % 4.0 .00 8. By Conditional Format Formatting as Table Styles comditional arrange insert Delete Format Insert Delete Format Cell Styles 2 Clear Clear Sort & Filter Editing some Find & Select time Alignment Number Cells File Home Insert Page Layout Formulas Data Review % Cut Calibri -11AA = = = Ea Copy Paste B I Format Painter U - D E A E E Clipboard Font T16 - fix K L M N O S= K = 80 r= 0.038 O(A) = 0.55 0.41667 [=5/12] P Formula Bar s V W X Z 85 T= d. In (Slk) + (r+0.50 (1) d1 = [In(85/80) + (0.038 +0.5*(0.55)^2)(0.4166667)]/(0.55*(SQRT(0.4166667)] d1 = 0.39287 12 d2 = d1 - 0* SQRT(T) d2 = 0.0378 13 14 15 16 17 18 19 20 e^(-0.038*0.4166667)= 0.984291 Nd1) = N(02) = 0.652793 0.515096 Sheet2 RISK NEUTRAL Sheet3 Sheet4 Sheets Sheet6 Sheet BINOMIAL BS ferences Rea BOI 130% 0 + P ermagem D F B * * OENG 23-11-2019

DERIVATIVES BINOMIAL - Microsoft Excel (Product Activation Failed) View Add-Ins File Home Insert Page Layout Formulas Data Review - 2x % Cut Σ AutoSum : A Calibri Dr General Fill Wrap Text Merge Merge & Center - Center Z Tu BI U SF $ % % , 4:0 .00 :.: Insert Delete Format Conditional Format Formatting as Table Styles Cell Styles Clear -11AA = = = D- DA Font Fax M Sort & Filter Editing Find & Select Alignment Number E Copy Paste Format Painter Clipboard T38 к 20 21 Cells RS TU Z VALUE OF CALL OPTION = 22 S. n(d, - k.e . N(dz) 23 24 25 VALUE OF CALL OPTION = VALUE OF CALL OPTION = VALUE OF CALL OPTION = 26 85*(0.652793) 55.49 14.93 80*(0.984291)*(0.515096) 40.56 27 28 29 30 31 32 value of Put option P= koe 33 n(dz) - S. NEdi) 34 35 36 VALUE OF PUT OPTION = VALUE OF PUT OPTION = VALUE OF PUT OPTION = 80 *(0.984291)*(1-0.515096) 38.183 8.67 85*(1-0.652793) 29.5126 37 38 R N Sheet2 RISK NEUTRAL Sheet3 Sheet4 Sheets Sheeto Sheet7 BINOMIAL BS ferences Rea BOI 130% 0 + B A .lll 23-11-2019