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What is the price of the option if it is a European call

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Reference no: EM132756666

Question - Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5% per annum, the volatility is 25% per annum, and the time to maturity is four months. Answer the following questions using the Black-Scholes option pricing model.

a) What is the price of the option if it is a European call?

b) What is the price of the option if it is an American call?

c) What is the price of the option if it is a European put?

d) Verify that put-call parity holds.

Reference no: EM132756666

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