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Problem 21-12 BlackScholes model Use the BlackScholes formula to value the following options: a. A...

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Finance

Problem 21-12 BlackScholes model

Use the BlackScholes formula to value the following options: a. A call option written on a stock selling for $71 per share with a $71 exercise price. The stock's standard deviation is 9% per month. The option matures in three months. The risk-free interest rate is 1.25% per month. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

b. A put option written on the same stock at the same time, with the same exercise price and expiration date. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

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