Calculate the price of a 4-month european call

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25) Calculate the price of a 4-month European call option on a dividend-paying stock with a strike price of $30 when the current stock price is $34, the risk-free rate is 6% per annum and the volatility is 40% per annum. A dividend of $2.00 is expected in 2 months. Use Black-Scholes formula.

		a)$3.05
		b)$3.65
		c)$4.32
		d)$5.02

20) Consider a 3-month European put option on a non-dividend-paying stock, where the stock price is $60, the strike price is $60, the risk-free rate is 3% per annum. Stock price will either move up by 10% or down by 5%, every month. Price the put with binomial trees.

		a)$2.10
		b)$2.52
		c)$2.94
		d)$3.37

Reference no: EM13831647

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