Jolly shares are currently trading at $135.43 and the standard deviation of Jolly's returns is 26%. The continuously compounding risk-free rate is 2%. Using the Black and Scholes pricing formula find the premium of a European put option with a strike price of $100 expiring one year from today.   Answer to 2 decimal places.

Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 6P: Binomial Model The current price of a stock is 20. In 1 year, the price will be either 26 or 16. The...
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Jolly shares are currently trading at $135.43 and the standard deviation of Jolly's returns is 26%. The continuously compounding risk-free rate is 2%. Using the Black and Scholes pricing formula find the premium of a European put option with a strike price of $100 expiring one year from today.

 

Answer to 2 decimal places.

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