Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The...
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Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The call has a strike price of $100.00 and expires in 90 days. The current price of Up stock is $121.77, and the stock has a standard deviation of 35% per year. The risk-free interest rate is 6.52% per year. Up stock pays no dividends. Use a 365-day year. a. Using the Black-Scholes formula, compute the price of the call. b. Use put-call parity to compute the price of the put with the same strike and expiration date. (Note: Make sure to round all intermediate calculations to at least five decimal places.) a. Using the Black-Scholes formula, compute the price of the call. The price of the call is $ (Round to two decimal places.) Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The call has a strike price of $100.00 and expires in 90 days. The current price of Up stock is $121.77, and the stock has a standard deviation of 35% per year. The risk-free interest rate is 6.52% per year. Up stock pays no dividends. Use a 365-day year. a. Using the Black-Scholes formula, compute the price of the call. b. Use put-call parity to compute the price of the put with the same strike and expiration date. (Note: Make sure to round all intermediate calculations to at least five decimal places.) a. Using the Black-Scholes formula, compute the price of the call. The price of the call is $ (Round to two decimal places.)
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