A stock index is currently 150 Its volatility is 30 The risk free rate is 2 Strike price is 140 The dividend yield is 7 after 6 months Lifetime of the contract is 9 months what is the worth of the derivative if its a European call what is the worth if its a European put Does the Put Call Parity hol...

To find the worth of the European call option you can use the BlackScholes formula C S Nd1 X erT Nd2 ...

A stock index is currently 150. Its volatility is 30%. The risk free rate is 2%. Strike

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A stock index is currently 150. Its volatility is 30%. The risk free rate is 2%. Strike price is 140. The dividend yield is 7 after 6 months. Lifetime of the contract is 9 months.

what is the worth of the derivative if it´s a European call?
what is the worth if it´s a European put?
Does the Put Call Parity hold?

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Posted Date: Dec 05, 2023 12:18 AM

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A stock index is currently 150. Its volatility is 30%. The risk free rate is 2%. Strike

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To find the worth of the European call option you can use the BlackScholes formula C S Nd1 X erT Nd2 ... View the full answer

Personal Finance Turning Money into Wealth

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