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A European call option was written on the non-dividend paying shares of firm X. The option...

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Finance

A European call option was written on the non-dividend payingshares of firm X. The option has an exercise price of $51 andexpires in 142 days. The underlying shares of firm X currently sellfor $49.28 and the standard deviation of their continuouslycompounded returns is 22%. The annual riskless rate is 1.75%.

A. Using the Black Scholes model, what is the value of the calloption. Assume a 365 day year.

B. Using the put call parity relationship, estimate the value ofa put option with the same exercise and maturity as the call.

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A European call option was written on the non-dividend payingshares of firm X. The option has an exercise price of $51 andexpires in 142 days. The underlying shares of firm X currently sellfor $49.28 and the standard deviation of their continuouslycompounded returns is 22%. The annual riskless rate is 1.75%.A. Using the Black Scholes model, what is the value of the calloption. Assume a 365 day year.B. Using the put call parity relationship, estimate the value ofa put option with the same exercise and maturity as the call.

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