Compute the price of european call option with strike

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Reference no: EM131943196

The price of a stock today is $95 and its volatility is 20%. The risk-free rate is 3%.

1. Compute the price of a European call option with a strike of $100 and a maturity of 3 months using the BSM model.

2. Compute the price of a European put option with a strike of $100 and a maturity of 3 months.

3. Using the Vega, what is the new price of the call if the volatility decreases by 2%.

4. Using the Vega, what will be the price of a put if the volatility increases by 3%.

5. Using the delta, what will be the new call price if the underlying price increases by $1.5.

6. Using the delta, what will be the price of the put is the underlying price decreases by $2.3.

Reference no: EM131943196

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