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Unformatted text preview: 13. Assume that you have a call option with a strike (exercise) price of $35, a current stock price of $38, 146 days until expiration, and an annualized standard deviation of 48.00%. Assuming a riskfree rate of 4.00 percent, calculate the price of an equivalent put option (same parameters). (Take all preliminary numbers out to 9 decimal places.) A. $1.84 B. $2.20 * C. $2.91 D. $1.65 E. $3.27 PV (Exercise) = ($35.00)*e(.04)*(146/365) = $34.44 d 1 = {[ln($38.00/$34.44)] / (.48)*(146/365) 1/2 } + [(.48)*(146/365) 1/2 / 2] d 1 = 0.098367480 / 0.303578655 + 0.151789328 = 0.475815666 = 0.48...
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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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