问题如下:
An analyst wants to calculate the value of 1-year European call option and put option using BSM formula. He has collected below information: current stock price is $90, exercise price is $90, continuously compounded risk-free rate is 4%, annual volatility is 20%. What is the value of the call option and put option?
选项:
A.
B.
C.
D.
解释:
B is correct.
考点:BSM Model
解析:
根据已知条件,可以将BSM模型的参数归纳如下:
S0 =$90; X=$90; r=4% T=1 and σ=20%
d2=0.3-0.20×1=0.1
从累积概率分布表中查询可以得到
N(d1)=0.6179
N(d2)=0.5398
put/call parity, the put’s value is:
这道题是不是考试会给出表?按正常步骤算就可以了