Solution-Calculate the value of put option using the

Calculate the value of put option using the black-scholes

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Reference no: EM132965100

Problem 1: A share is trading at €35, with a 3% continuous dividend yield and 20% annualized volatility. A one-year call option on this share has strike price €32. The continuous risk-free rate is 2%. Risk factors are: d1 = 0.498, N(d1) = 0.691, d2 = 0.298, N(d2) = 0.617. Calculate the value of the put option using the Black-Scholes-Merton model

Reference no: EM132965100

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Calculate the value of put option using the black-scholes : Risk factors are: d1 = 0.498, N(d1) = 0.691, d2 = 0.298, N(d2) = 0.617. Calculate the value of the put option using the Black-Scholes-Merton model

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Calculate the value of put option using the black-scholes

Reference no: EM132965100

Reference no: EM132965100

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