is one Given that the stock price is $75, The time to expiration year and the...

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is one Given that the stock price is $75, The time to expiration year and the VOL is: o = 40%, calculate the Black -Scholes -Merton values of the at the money call and the put. The annual risk-free rate with continuous compounding is 10%. Q2. * Use the data in the table below to calculate the Black Scholes Merton prices of the 22.50, JAN call given that there are 112 days 25%, and the annual risk-free rate Ơ = till the JAN expiration , the VOL, with continuous compounding is 5%. In your calculation , use the interpolation N (d2). S 25 25 25 25 25 K 25 27.5 0 NOV 30 20 22.5 3.20 3.40 0 - 1.50 .60 Calls .16 DEC - .88 .55 in order to calculate N (d1 ) and JAN NOV 7.30 .10 .60 .90 4.00 1.40 1.95 3.50 Puts DEC 5.10 5.40 JAN .55 1.25 2.10 4.00 5.50 is one Given that the stock price is $75, The time to expiration year and the VOL is: o = 40%, calculate the Black -Scholes -Merton values of the at the money call and the put. The annual risk-free rate with continuous compounding is 10%. Q2. * Use the data in the table below to calculate the Black Scholes Merton prices of the 22.50, JAN call given that there are 112 days 25%, and the annual risk-free rate Ơ = till the JAN expiration , the VOL, with continuous compounding is 5%. In your calculation , use the interpolation N (d2). S 25 25 25 25 25 K 25 27.5 0 NOV 30 20 22.5 3.20 3.40 0 - 1.50 .60 Calls .16 DEC - .88 .55 in order to calculate N (d1 ) and JAN NOV 7.30 .10 .60 .90 4.00 1.40 1.95 3.50 Puts DEC 5.10 5.40 JAN .55 1.25 2.10 4.00 5.50

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To calculate the BlackScholes Merton values of the atthemoney call and put with a stock price of 75 ... View the full answer