Use the following data for answering all problem sub-parts: A call option will mature in 6 months.The

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Use the following data for answering all problem sub-parts:

A call option will mature in 6 months.The standard deviation of the underlying stock returns is 50% per year.The exercise price of the call option is $50 and the stock price is also $50.The risk-free interest rate is 3% per year.

A.Using the Black-Scholes option pricing formula, calculate the price of the call option. (15 points)

B.Using put-call parity calculate the price of the corresponding put option that has the same exercise price and maturity date as that of the call option.

Posted Date: May 18, 2024 12:02 PM

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Use the following data for answering all problem sub-parts: A call option will mature in 6 months.The

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