Consider an option on a non-dividend-paying stock when the, Ask an Expert

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Consider an option on a non-dividend-paying stock when the stock price is $30,the exercise price is $29, the risk-free interest rate is 5% per annum, the volatil-ity is 25% per annum, and the time to maturity is four months.

a. What is the price of the option if it is a European call?

b. What is the price of the option if it is an American call?

c. What is the price of the option if it is a European put?

d. Verify that putcall parity holds for European options

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Financial Management, Finance

Category:- Financial Management
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