Question: year with continuous compounding, Assume that one call option gives the holder the right to purchase one shore. Use the Black-Scholes Merton model to estimate

year with continuous compounding, Assume that one call option gives the

holder the right to purchase one shore. Use the Black-Scholes Merton model

year with continuous compounding, Assume that one call option gives the holder the right to purchase one shore. Use the Black-Scholes Merton model to estimate the fair value of a European call Option on XYZ shares, with exercise price of $125 and expiration date of March 21. 2017, [Note that 2017 is not a leap year) [11.5 marks] This European call option has a market price of $3 00, Is it correctly priceor If not. how can an investor use the put call parity to take advantage of this arbitrage opportunity? (5.5 marks]

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