Calculate the price of a three-month european put option on, Ask an Expert

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Calculate the price of a three-month European put option on a stock with a strike price of $60 when the current stock price is $60, a dividend of $1.50 is expected in two months, the risk-free interest rate is 10% per annum, and the volatility is 30% per annum. Show PV of dividend and calculated values of d1 and d2. Use DerivaGem to check your price calculation.

1. Calculate PV of dividend.

Be sure to round PV to 2 decimal places before adjusting S0.

2. Show value of d1.

3. Show value of d2.

4. Calculate the price of the put option.

Show work.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91621188

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