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A 1-year option is offered on a non-dividend-paying stock. The stock price is $87.50. The...

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Finance

A 1-year option is offered on a non-dividend-paying stock. The stock price is $87.50. The exercise price of the option is $99 and the standard deviation is 19.2% per annum. The continuously compounded risk-free rate is 9.3% per annum. Use the Black-Scholes-Merton model to solve the following questions:

A) Calculate the prices of a European call option and a European put option.

B) Calculate the value of a European call option assuming that the stock pays a dividend of $2.3 after 3 months and 9 months.

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