Price of the Call Assignment | Homework For You
May 27th, 2020
Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The call has a strike price of $ 97.00 and expires in 95 days. The current price of Up stock is $ 115.78, and the stock has a standard deviation of 40 % per year. The risk-free interest rate is 6.34 % per year. Up stock pays no dividends. Use a 365-day year.
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Price of the Call Assignment | Homework For You
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a. Using the Black-Scholes formula, compute the price of the call.
b. Use put-call parity to compute the price of the put with the same strike and expiration date.
(Note: Make sure to round all intermediate calculations to at least five decimal places.)Get Finance homework help today