S&P 500 index is now at 3300 and has a volatility of 16% per annum. The exercise price of two-month call and put options is 3330. The dividend yields of 0.4% and 0.7% are expected in the first month and the second month and the risk-free rate of 3.5% per annum. Compute the value of call and put options using Black- Scholes Option Pricing Model.

S&P 500 index is now at 3300 and has a volatility of 16% per annum. The exercise price of two-month call and put options is 3330. The dividend yields of 0.4% and 0.7% are expected in the first month and the second month and the risk-free rate of 3.5% per annum. Compute the value of call and put options using Black- Scholes Option Pricing Model.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section20.A: The Black-scholes Option Pricing Model

Problem 1P

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