Use put-call parity to compute price of put with strike

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Reference no: EM131622529

Rebecca is interested in purchasing a European call on a hot new stock, Up, Inc. The call has a strike price of $98.00 and expires in 95 days. The current price of Up stock is $115.14, and the stock has a standard deviation of 40% per year. The risk-free interest rate is 6.29% per year. Up stock pays no dividends. Use a 365-day year.

a. Using the Black-Scholes formula, compute the price of the call.

b. Use put-call parity to compute the price of the put with the same strike and expiration date.

a. Using the Black-Scholes formula, compute the price of the call. The price of the call is $ (Round to two decimal places.)

Reference no: EM131622529

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