NO.PZ2020021205000028
问题如下:
A stock price is USD 50 with a volatility of 22%. The risk free rate is 3%. Use the Black-Scholes-Merton formula to value (a) a European call option and (b) a European put option when the strike price is USD 50, and the time to maturity is nine months.
选项:
解释:
In this case:
d, == 0.2134
d2 == 0.0228
and the call option price is
50 N(0.2134) - 50 N(0.0228) = 4.3
The put option price is
50 N(-0.0228) - 50N(-0.2134) = 3.2
算出d1,d2后,是不是需要查表,还是有不查表的方法,,?