What is the value of put option on go-east airlines

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Reference no: EM131892105

Suppose there is a call option on Go-East Airlines with a strike price of $22. Today’s date is May 3rd and the call expires on May 18th. The current risk free rate on a T-bill that matures the on the option’s expiration day is 1.8%, annualized. Go-East Airlines’ stock is currently trading $23 per share. The historical standard deviation for the stock is 22%. Assume that the option is European and that Go-East does not pay dividends. a) Use the Black-Scholes option pricing formula to determine the value of the call option. b) What is the value of a put option on Go-East Airlines that matches in maturity and strike price?

Reference no: EM131892105

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