Solve the following questions using the information below: Black and Scholes call and put prices ii.
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Solve the following questions using the information below:
Black and Scholes call and put prices
ii. Put call parity theorem for Black and Scholes model
iii. After 6 months, you intend to sell off your call option because you heard in the grapevine that the price will depreciate in the future. What is the price of that call option?
iv. Binomial single period call and put prices
v. Put call parity theorem for Binomial model
Spot Price: RM25
Strike Price: RM25
Time to maturity: 1 year
Risk free rate: 5%
Standard Deviation of stock: 0.10
Bond's coupon (interest rate): 5%
Probability of price to go up: 15%
Probability of price to go down: 5%
Related Book For
Corporate Finance
ISBN: 978-0077861759
10th edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
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