Calculate the price of the option if it is european call

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Reference no: EM131918849

The stock price three months before expiration of an option is $50. The stock does pay dividend. The exercise price is $45, the continuously compounded annual risk free rate is 6%, the volatility is 20% per annum, d1 = 1.2536 and d2 = 1.1536

1) Calculate the price of the option if it is a European Call

2) What is the delta of the call option? Based on the delta, how many shares must a trader buy for every 1000 calls solt to maintain a risk-free position?

3) Calculate the price of the option if it is a European put

4) Show whether or not the put-call parity is violated.

Please show all work.

Reference no: EM131918849

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