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.

Answer rating: 100% (QA)

To calculate the put option price using the BlackScholes model we first need to calculate d1 and d2 ... View the full answer