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Unformatted text preview: = $7.803 Put option using Black-Scholes modified formula = $11.075 Put option using put-call parity = $11.075 r RF = e-rRFt = First, we will use formulas from the text to solve for d 1 and d 2 . (d 1 ) N(d 1 ) = (d 2 ) N(d 2 ) = V C b. Suppose there is a put option on Puckett's stock with exactly the same inputs as the call option. What is the value of the put?...
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This note was uploaded on 10/18/2010 for the course MBA MBA 617 taught by Professor Vanness during the Fall '10 term at Ole Miss.
- Fall '10