Calculate the price of put option

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Assume that on October 27, the Nokia Corporation’s stock traded at $15.36. At the time the stock price was quoted, the most actively traded option for this stock was a call option with November maturity and a strike price of $17.50, which had exactly 30 days until expiration. Assume a US Treasury Bill with the same maturity had an annualized return of 1.20%. The variance of the stock price is 10% annually. You can assume that options for Nokia have European type exercise structure. a) Calculate the Black-Scholes price for the call option described above. b) Calculate the price of a put option that has the same strike price and maturity as the call option above. c) If the call option described above trades for $0.1 in the market, what would you expect the market price of the same call option to be if the stock price increases to $16.15?

Reference no: EM131892093

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