Let S = $100, K = $90, = 30%, r = 8%, = 5%, and
Question:
a. What is the Black-Scholes call price?
b. Now price a put where S = $90, K = $100, σ = 30%, r = 5%, δ = 8%, and
T = 1.
c. What is the link between your answers to (a) and (b)? Why?
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a C 100 90 03 008 1 005 176988 b P 90 100 03 005 1 008 176988 c The prices ar...View the full answer
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