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Use the Black-Scholes model to find the price for a call option with the following inputs:...

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Finance

Use the Black-Scholes model to findthe price for a call option with the following inputs: (1) currentstock price is $45, (2) exercise price is$50, (3) time to expiration is 3months, (4) annualized risk-free rate is 3%, and(5) variance of stock return is 0.50.

AND based on the information above,find the value of a put with a $50 exercise price.(SHOW CALCULATIONS PLEASE)

Answer & Explanation Solved by verified expert
3.8 Ratings (316 Votes)
d1 lnS0X tr q 22 t12 ln4550 025003 0502 0500502512 00354 03536 01000d2    See Answer
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Transcribed Image Text

Use the Black-Scholes model to findthe price for a call option with the following inputs: (1) currentstock price is $45, (2) exercise price is$50, (3) time to expiration is 3months, (4) annualized risk-free rate is 3%, and(5) variance of stock return is 0.50.AND based on the information above,find the value of a put with a $50 exercise price.(SHOW CALCULATIONS PLEASE)

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