Shares of Miss Polly's Inc. are currently trading at $40 with annual volatility of 22%...
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Shares of Miss Polly's Inc. are currently trading at $40 with annual volatility of 22% per annum. The annual continuously compounded risk-free rate of interest is 1.5%. a. What, according to the Black Scholes option pricing model, will be the price of a 3-month European-style put option on Miss Polly's Inc. with an exercise price of $44? b. Calculate and discuss the impact on the Black Scholes price in part a. if Miss Polly's Inc. was expected to pay a dividend of $5 with 1 month remaining until the option's maturity. C Miss Polly's Inc. is included in the MEM500 stock index which is currently at 5050 index points, pays a continuously compounded annual yield of 1.2% and has annual volatility of 20%. If the contract multiple is $10 per full index point, what will be the price of an at-the- money European-style call option written on the index which matures in 6 months?
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