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What are the prices of a call option

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Reference no: EM132848297

Question - Black-Scholes - What are the prices of a call option and a put option with the following characteristics?

Stock price = $86

Exercise price = $90

Risk-free rate = 5% per year, compounded continuously

Maturity = 4 months

Standard deviation = 48% per year

Reference no: EM132848297

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