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X=3 Consider an ABCD Stock that trades at Rs. 10X today. Call and put...

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Finance

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X=3

Consider an ABCD Stock that trades at Rs. 10X today. Call and put options on this asset are available with an exercise price of Rs. 100. The options expire in 275 days, and the volatility is 0.35. The continuously compounded risk-free rate is 3 percent. A. Calculate the value of European call and put options using the Black-Scholes-Merton model. Assume that the present value of cash flows on the underlying asset over the life of the options is Rs. 4.25. B. Calculate the value of European call and put options using the Black-Scholes-Merton model. Assume that the continuously compounded dividend yield is 1.5 percent

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