Question 2 (a) Use the Black-Scholes formula to find the current price of a European call option on a stock paying no income with strike 60 and maturity 18 months from now. Assume the 20%, and the...


Question 2<br>(a) Use the Black-Scholes formula to find the current price of a European call option on<br>a stock paying no income with strike 60 and maturity 18 months from now. Assume the<br>20%, and the constant<br>current stock price is 50, the lognormal volatility of the stock is a =<br>continuously compounded interest rate is r 10%<br>(b) Repeat part (a) for a European put with strike 60 and maturity 18 months from<br>now<br>

Extracted text: Question 2 (a) Use the Black-Scholes formula to find the current price of a European call option on a stock paying no income with strike 60 and maturity 18 months from now. Assume the 20%, and the constant current stock price is 50, the lognormal volatility of the stock is a = continuously compounded interest rate is r 10% (b) Repeat part (a) for a European put with strike 60 and maturity 18 months from now

Jun 05, 2022
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