Q13.A European call with strike $20 expires in one month. The underlying asset of this call has current value $22. The yearly volatility is 30% and the current interest rate is 4% pa.

Using the Black-Scholes model, what isd₁correct to four significant figures?

Q14.A European call with strike $20 expires in one month. The underlying asset of this call has current value $22. The yearly volatility is 30% and the current interest rate is 4% pa.

Using the Black-Scholes model, what isd₂correct to four significant figures?

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For both questions the correct answer can be calculated using the BlackScholes model to determin... View the full answer