Calculate the option price for a call

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Question: Calculate the prices of 6 month European call and put options using the Black-Scholes pricing formula, given that the current market price of the underlying asset is $40.75, the risk-free continuously compounded interest rate is 4% per annum, and the volatility (standard deviation) of the price of the underlying asset is 25% per annum. You may find this table useful.

a) Calculate the option price for a call and a put if the strike price is $47.36. Give all answers in dollars and cents to the nearest cent.

b) Calculate the option price for a call and a put if the strike price is $43.95. Give all answers in dollars and cents to the nearest cent.

Reference no: EM133633245

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