Find the price of a three-year european call option on xyz

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Suppose XYZ is a non-dividend-paying stock. The current stock price is S = $100, the volatility is σ = 20%, and the risk-free interest rate is r = 2%. =

(a) Using the Black-Scholes-Merton formula or the Black-Scholes-Merton calculator, find the price of a three-year European call option on XYZ with a strike price of $80. 

(b) Using put-call parity, find the price of a three-year European put option on XYZ with the same strike price. (Please show the calculation using put-call parity. Do not simply take the put value from a Black-Scholes-Merton calculator.)

Reference no: EM132502310

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