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What is the price of option if it is European call

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Reference no: EM133496069

Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5%, the volatility is 25% per annum, and the time to maturity is 4 months.

1. What is the price of the option if it is a European call?

2. What is the price of the option if it is an American call?

3. What is the price of the option if it is a European put?

4. Verify that put-call parity holds.

Reference no: EM133496069

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