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Problem 21-12 Black–Scholes model Use the Black–Scholes formula to value the following options: a. A call option written...

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Finance

Problem 21-12 Black–Scholes model

Use the Black–Scholes formula to value the followingoptions:

a. A call option written on a stock selling for$68 per share with a $68 exercise price. The stock's standarddeviation is 6% per month. The option matures in three months. Therisk-free interest rate is 1.75% per month.

b. A put option written on the same stock atthe same time, with the same exercise price and expirationdate.

Answer & Explanation Solved by verified expert
4.0 Ratings (501 Votes)
a S Current Stock Price 68 t time until option expirationyears 312 025 X Option Strike Price 68 r risk free rateannual 17512100 021 s standard deviationannual 612100    See Answer
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