Compute the value of call and put options

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1. Consider the following data relevant to valuing a European-style call option on a non dividend- paying stock: Strike price X = 40, Risk free rate = 9 percent, T = six months (i.e., 0.5), and σ = 0.25. For Stock price S = 40. Using the EXCEL software and the Black-Scholes model, compute the value for a European-style call and put options.

2. The stock price 6 months from the expiration of an option is $42, the exercise price of the option is $40, the risk-free interest rate is 10% per annum, and the volatility is 20% per annum. Using the EXCEL software and the Black-Scholes model, compute the value of call and put options

Reference no: EM133000357

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