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Compute the price of the call

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Reference no: EM131360682

Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The call has a strike price of $ 96.00

and expires in 93days. The current price of Up stock is $ 119.49,and the stock has a standard deviation of 41 %per year. The risk-free interest rate is 6.42 %per year. Up stock pays no dividends. Use a 365-day year.a. Using the Black-Scholes formula, compute the price of the call.b. Use put-call parity to compute the price of the put with the same strike and expiration date.(Note:Make sure to round all intermediate calculations to at least five decimal places.)

a. Using the Black-Scholes formula, compute the price of the call. The price of the call is $. (Round to two decimal places.)

b. Use put-call parity to compute the price of the put with the same strike and expiration date.The price of the put is $. (Round to two decimal places.)

Reference no: EM131360682

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