SINDY index is currently at I 11,057 Eu ro pe an options on SINDY have a strike price K $11,000, a maturity T 45 days, a dividend yield 1 5 percent per year, the risk free interest rate r 5 percent per year, and the estimated implied volatility 16 percent per year a Compute the price of a call opti...

The calculations for the modified stock price using Priced are Se ...

SINDY index is currently at I = 11,057. Eu ro pe an options on SINDY have a

Question:

SINDY index is currently at I = 11,057. Eu ro pe an options on SINDY have a strike price K = $11,000, a maturity T = 45 days, a dividend yield δ = 1.5 percent per year, the risk- free interest rate r = 5 percent per year, and the estimated implied volatility σ = 16 percent per year.

a. Compute the price of a call option using the Merton formula.

b. Compute the price of a put option using the appropriate version of put– call parity.

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. Dividend
A dividend is a distribution of a portion of company’s earnings, decided and managed by the company’s board of directors, and paid to the shareholders. Dividends are given on the shares. It is a token reward paid to the shareholders for their... Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...