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Valuation Assignment | Professional Writing

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May 20th, 2020

Put Option Valuation.  Determine the value of a put option on the CAD that has the following characteristics: (a) it is of type European (b) it matures in 6 months (c) the strike price is USD 0.95. In the spot market the CAD is trading at USD 0.92. The US and Canadian interest rates are 4% and 6% respectively. The CAD has an annual standard deviation of 12%.

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a) Write out fully the general form of the Black-Scholes formula for a European put.

b) Write the BS formula for the European put by plugging in for the specific parameter values of the European put given above.

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c) Provide the value (price) for the European put given above.

d)       Write down the expression for the put-call parity relationship.

e) Use the put-call parity relationship to find the price of the corresponding call option, that is, the call option with similar parameters. Write down the put-call parity condition by plugging in for the specific parameter values of the European option given above with the only unknown variable being the call option price.

f) Provide the value (price) for the European call option given by the put-call parity condition.

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