What are the prices of a call option and a put option with the following characteristics? Stock

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What are the prices of a call option and a put option with the following characteristics?

Stock price = $87

Exercise price = $90

Risk-free rate = 3% per year, compounded continuously

Maturity = 2 months

Standard deviation = 49% per year

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Corporate Finance Core Principles And Applications

ISBN: 9781260571127

6th Edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan

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