Black-scholes-merton premiums of at-the money call

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Reference no: EM132001675

Calculate the Black-Scholes-Merton premiums of at-the money call and put on a non dividend paying stock. St = 40 and σ = 50%. Suppose that the yields on the T-bill that matures on Thursday in 143 days (remember that this means that the options expire on Friday in 144 days) are Ra = 4.50% and Rb = 4.60%. These are annual rates with a single compounding period.

Reference no: EM132001675

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