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  • Black Scholes Pricing

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    Abdullah Yousuf
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    5 views1 page

    Black Scholes Pricing

    Uploaded by

    Abdullah Yousuf

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    Q1.

    Calculate the price of a 3-month European put option on a non-dividend-paying stock with a strike
    price of $50 when the current stock price is $50, the risk-free interest rate is 10% per annum, and the
    volatility is 30% per annum.

    Q2. What is the price of a European put option on a non-dividend-paying stock when the stock price is
    $69, the strike price is $70, the risk-free interest rate is 5% per annum, the volatility is 35% per annum,
    and the time to maturity is 6 months?

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