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Calculate the option price for a call and a put

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Reference no: EM133051356

Question - Calculate the prices of 9 month European call and put options using the Black-Scholes pricing formula, given that the current market price of the underlying asset is $43.94, the risk-free continuously compounded interest rate is 5% per annum, and the volatility (standard deviation) of the price of the underlying asset is 8% per annum. You may find this table useful.

a) Calculate the option price for a call and a put if the strike price is $41.97. Give all answers in dollars and cents to the nearest cent.

b) Calculate the option price for a call and a put if the strike price is $40.19. Give all answers in dollars and cents to the nearest cent.

Reference no: EM133051356

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