What is the price of the corresponding european put option

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Suppose that the current price of stock A is $70 per share and the price follows the jump diffusion model in Eq. (6.26).

Assume that the risk-free interest rate is 8% per annum, the stock pays no dividend, and its volatility (σ) is 30% per annum. In addition, the price on average has about 15 jumps per year with average jump size -2% and jump volatility 3%.

What is the price of a European call option with strike price $75 that will expire in 3 months?

What is the price of the corresponding European put option?

Reference no: EM131224878

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