Suppose xyz is a non-dividend-paying stock the current, Ask an Expert

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Suppose XYZ is a non-dividend-paying stock. The current stock price is S = $100, the volatility is s = 35%, and the risk-free interest rate is r = 1%.

(a) Using the Black-Scholes-Merton formula or the Black-Scholes-Merton calculator, find the price of a two-year European call option on XYZ with a strike price of $80.

(b) Using put-call parity, find the price of a two-year European put option on XYZ with the same strike price. (Please show the calculation using put-call parity)

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92857726

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