Black-scholes option pricing model

Assignment Help Finance Basics

Reference no: EM131015835

You observe the following in relation to a 4-month European put option on the S&P200 index.

a) Strike price of 3400

b) The S&P200 Index is currently at a level of 3600

c) The dividend yield is on the S&P200 Index is 4% p.a compounded quarterly

d) The risk free interests rate is 5% p.a compounded semi-annually

e) The volatility of the S&P200 Index is 25% p.a.

REQUIRED:

Use Black-Scholes option pricing model to value the put option. State any assumptions you make.

Take into consideration different compouding. Please do manually and show all the steps

Reference no: EM131015835

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