Black-scholes- merton model gives price of european put

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Reference no: EM132042295

A stock’s current price S is $100. Its return has a volatility of ? = 25 percent per year. European call and put options trading on the stock have a strike price of K = $105 and mature after T = 0.5 years. The continuously compounded risk- free interest rate r is 5 percent per year.

1. The Black-Scholes-Merton model gives the price of the European call as:

a) $5.99

b) $8.26

c) $10.00

d) $12.34

e) None of these answers are correct.

2. The Black- Scholes- Merton model gives the price of the European put as:

a) $5.79

b) $5.99

c) $8.40

d) $9.88

e) None of these answers are correct.

Reference no: EM132042295

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