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Unformatted text preview: * E. 2.33% Using putcall parity C = P + S  E / (1+r) t $1.75 = $2.00 + 75.00  $77.00 / (1+r) $75.25 = 77.00 / (1+r) (1+r) = $77.00 / $75.25 = 1.0232558 r = 2.33% 7. Assume that a share of stock has a current price of $60. Also assume that a call option on this stock has 1 year to maturity, a standard deviation of 0.20, an exercise price of $50, and that the appropriate 1year interest rate is 4.00%. What is the price of this call option using the BlackScholes optionpricing model? (A cumulative normal probability table is at the end of this exam  you should round off your answers for d 1 and d 2 to two decimal places.) A. $12.04 B. $13.75 C. $14.19...
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This note was uploaded on 07/13/2011 for the course FIN 4414 taught by Professor Staff during the Spring '08 term at University of Florida.
 Spring '08
 Staff
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