Stock standard deviation

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Use the Black-Scholes formula to value the following options (assume no dividends):

a. A call option written on a stock selling for $60 per share with a $60 exercise price. The stock's standard deviation is 6% per month. The option matures in 3 months. The risk free interest rate is 1% per month.

b. A put option written on the same stock at the same time, with the some exercise price and expiration date.

Reference no: EM133056984

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