Put option written on the same stock at the same time

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Reference no: EM131511023

Use the Black–Scholes formula to value the following options:

a. A call option written on a stock selling for $60 per share with an exercise price of $60. The stock's standard deviation is 6% per month. The option matures in three months. The risk-free interest rate is 1% per month. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

b. A put option written on the same stock at the same time, with the same exercise price and expiration date. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Reference no: EM131511023

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