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Determine the value of the call option and the value of put

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Reference no: EM132878733

Assume the following for a stock and a call option written on the stock.

EXERCISE PRICE = $25

CURRENT STOCK PRICE = $28

VARIANCE = .25

TIME TO EXPIRATION = 6 MONTHS = .50

RISK FREE RATE = 2%

Problem 1: Use the Black Scholes procedure to determine the value of the call option and the value of the Put.

Reference no: EM132878733

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