Calculate the price of put option with a strike price equal

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Consider a stock that is priced at $20 per share. The stock's volatility is 16%, the stock does not pay dividends, and the interest rate for continuous compounding is 5.5%. Use the Black-Scholes option pricing model to find the price per share for each of the options listed below. All options expire in one year.

(a) Calculate the price of a put option with a strike price equal to $15 per share.

(b) Calculate the price of a call option with a strike price equal to $23 per share.

(c) Use your answers from parts (a)-(b) to calculate the price of a strangle, where the strike prices of the strangle are $15 and $23.

Reference no: EM131513422

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