David is interested in purchasing a European call option on Divine Vines, Inc , a non dividend paying common stock, with a strike price of $30 and three months until expiration Divines stock is currently trading at $60 per share, and the annual variance of its continuously compounded returns is 0 3...

a The inputs to the BlackScholes model are the current price of the underlying asset S The strike pr ...

David is interested in purchasing a European call option on Divine Vines, Inc., a non-dividend-paying common stock,

Question:

David is interested in purchasing a European call option on Divine Vines, Inc., a non-dividend-paying common stock, with a of $30 and three months until expiration. Divine’s stock is currently trading at $60 per share, and the annual variance of its continuously compounded returns is 0.36. Treasury bills that mature in three months yield a continuously compounded interest rate of 3 percent per annum
a. Use the Black-Scholes model to calculate the price of the call option that David is interested in buying
b. What does put-call parity imply about the price of a put with a of $30 and three months until expiration?

Strike Price
In finance, the strike price of an option is the fixed price at which the owner of the option can buy, or sell, the underlying security or commodity.