Question

Find the Call Price and then the Put Price Using Black-Scholes model

CBarede FINANCO dlchPrice 50 Eseaver roe 450 heh ree Aate 5% Tue Natuidye lentanke laaded desiatona0% Rak Prce Cell Rice UBWR Klech Scholes Jodel CSYd)-La Nida StP INS 45 30 CTC

Answer 1

Civen data is S = 45 K= 45 ö 2=31307 4h R=45 rrios T-15 (6/12] 8=:05 T: 05 (o values in this The price of puta Call option : Call option C= ) -kenca) 01- (b. 19/) + (v+ext] Oft formula + In learned + (506 + 0) 35 07.0953-5 - 37.5 = .0446 = .4239 ~ .22 - apply 3X. YOU - d-OJE - .2239 – 2121 = .01 N(0) - .5841 N (do)= 15040 2an womal distribution table. 3 --067.5 Call price = 45%.5841 - uby e X.5040 26.4195 - 45*.9760 x 5040 26.4196 - 22.113 :-e 025 = 9750 4.30

value of put options P = Exert n(d) - SON(-d) . - 6x ē XN6.01) - 45XNV--22) 468.94560 x.496 - 454.4189. = 27.762 – 18.5806 = 3:18 N(-.01) = .496 2 & from com a alomal distributions table N1--22) - 14129.3 or simply can determine by Ned) = 1-ndo N(-d,) = 1- No,