Calculate the european call and european put option prices

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Reference no: EM131561433

A stock has a price of $33 and an annual return volatility of 55 percent. The risk-free rate is 3.17 percent. Perform calculations in Excel.

a. Calculate the European call and European put option prices with a strike price of $40.00 and a 90-day expiration. (Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "$" sign in your response.)

  European call premium $   

  European put premium $   

b. Calculate the deltas of the European call and European put. (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places.)

  European call delta   

  European put delta

Reference no: EM131561433

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