Answer to Question #349822 in Financial Math for Bee

Question

A listed company on the ZSE has the stock price six months from expiration of

an option as $95, risk free interest rate is 4% per annum and an exercise price of $90. The volatility is 30% per annum. Calculate the price of the European put option using the Black-Scholes option pricing model. Using the put-call parity relationship, calculate the call price. Sketch the call and put payoff graphs defined in the question. Use R

Answer 1

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