Problem

14. Microsoft stock is currently trading at $24.35. Consider call and put options with a s...

14. Microsoft stock is currently trading at $24.35. Consider call and put options with a strike of $25.00 expiring in 12 days (=0.0476 years). Suppose that the volatility of Microsoft stock is 40% and that the interest rate is 3%. What are the Black-Scholes prices of the call and the put? What are the option deltas?

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Solutions For Problems in Chapter 14