Let S = $100, K = $90, = 30%, r = 8%, = 5%, and

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Let S = $100, K = $90, σ = 30%, r = 8%, δ = 5%, and T = 1.
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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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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