Use the black-scholes formula to value the options

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Reference no: EM131185184

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

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 three months. The risk-free interest rate is 1% per month.

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

Reference no: EM131185184

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