Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is
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Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5% per annum, the volatility is 25% per annum, and the time to maturity is four months. Use the Black-Scholes-Merton formula.
- What is the price of the option if it is a European call?
- What is the price of the option if it is an American call?
- What is the price of the option if it is a European put?
- Verify that put–call parity holds.
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gnswey pagetor Given details stock puice j30 exercise poice 29 nisk free intenest r... View the full answer
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