Assignment on b-s option pricing

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Reference no: EM132648783

(B-S Option Pricing)

ABC stock is being traded at $115 today. Consider European put and call options with an exercise price of $110. The option expires in 91 days and the volatility is 0.50. The risk-free rate (continuously compounded) is 2.5%. Use actual/365 day count method.

A) Calculate the values of the put and call options. Assume there will be no dividend before the option expires.

B) Calculate the values of the put and call options, but assume now the continously compounded dividend yield is 2%.

Please show all calculations in Excel.

Reference no: EM132648783

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