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Calculate the premium on the abc call options

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Reference no: EM132396517

1. Current price of ABC shares is 266 dollars. A call option has an exercise price of 251dollars and are due to expire in 3 months time. The risk-free interest rate is 3% and ABC's share price volatility as measured by standard deviation is 20%. Assume 360 days per year.

a) Calculate the premium on the ABC call options.

b) Calculate the value of ABC put options with an exercise price of 251 dollars and 3 month expiry.

Reference no: EM132396517

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