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  3. assume the black-scholes framework for options pri

Assume the Black-Scholes framework for options pricing. Let S(t) denote the price at time t...

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Accounting

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Assume the Black-Scholes framework for options pricing. Let S(t) denote the price at time t of a stock that pays no dividends. Consider a European put option with expiration date T and exercise price K = S(0)erT where is the continuously compounded annual risk-free interest rate. You are given: T = 4 o2 = 0.25 Let P(O) denote the price of the put option at time 0. Calculate the rati 0 0.125 O 0.800 O 0.383 0 0.099 O 0.560 Consider a one-year at-the-money European call option on a nondividend- paying stock for which the Black-Scholes framework for option pricing holds. You are given: The stock currently sells for $100. The stock's volatility is 30%. The continuously compounded risk-free interest rate is 6%. Now consider a European put option on the same stock and subject to the same pricing parameters as the call. You bought 1,000 units of the call and 500 units of the put. Calculate the total price of all 1,500 options, rounded to the nearest $100. 0 $16,900 O $19,200 O $20,200 O $17,400 $18,300

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