Consider a European put option on a non-dividend-paying stock. The
current stock
price is $69, the strike price is $70, the risk-free interest rate
is 5% per annum, the
volatility is 35% per annum and the time to maturity is 6
months.
a. Use the Black-Scholes model to calculate the put price.
b. Calculate the corresponding call option using the put-call
parity relation. Use the
Option Calculator Spreadsheet to verify your result.
a. Value of Put using Black-Scholes model:
Please refer to below spreadsheet for calculation and answer. Cell reference also provided.
Cell reference -
b. Corresponding Call price using the Put-call parity
Where,
E = Exercise Price
S = Current underlying asset price
P = Put Premium
C = Call Premium
r = risk free rate
T =Time to maturity
putting the values
Hope this will help, please do comment if you need any further explanation. Your feedback would be highly appreciated.
Consider a European put option on a non-dividend-paying stock. The current stock price is $69, the...
Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5% per annum, the volatility is 25% per annum, and the time to maturity is four months. Use the Black-Scholes-Merton formula. What is the price of the option if it is a European call? What is the price of the option if it is an American call? What is the price of the option if it is...
What is the price of a European put option on a non-dividend-paying stock when the stock price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is six months?
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Consider an option on a non-dividend paying stock when the stock price is $90, the exercise price is $98 the risk-free rate is 7% per annum, the volatility is 49% per annum, and the time to maturity is 9-months. a. Compute the prices of Call and Put option on the stock using Black & Scholes formula. b. Using above information, does put-call parity hold? Why?c. What happens if put-call parity does not hold?
What is the price of a European put option on a non-dividend paying stock when the stock price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35%per annum, and the time to maturity is six months? Please give me step by step by step instructions.
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