Calculate the price of Call Option and Put Option

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Question - A stock is currently traded at $100. European option on this stock has an exercise price of $98 and expire in 85 days (using 365 days). The continuously compounded risk-free rate is 4.75%, a dividend yield of 5% and variance on the underlying stock is 35%. Calculate the price of Call Option and Put Option.

Reference no: EM132857313

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