Question: Consider the following data for a certain share. Current Price = S 0 = Rs. 80 Exercise Price = E = Rs. 90 Standard deviation

Consider the following data for a certain share.

Current Price = S0 = Rs. 80

Exercise Price = E = Rs. 90

Standard deviation of continuously compounded annual return = = 0.5

Expiration period of the call option = 3 months

Risk free interest rate per annum = 6 percent

a. What is the value of the call option? Use the normal distribution table.

b. What is the value of a put option?

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