You are given the following data for options on the common stock;
S = $102
X=$75 r= 2.5%
T= 3 months
Theta = 0.2
Use Black-Scholes Option Pricing Model to determine price of options.
1. Determine d1 = ln(S/X) + (r+theta2/2)T all over theta SQRT (T) and d2 = d1 - theta SQRT (T)
2. Use the answers from (1) to compute N(d1) and N(d2).
3. Use Black-schole OPM to compute C.
4. Use put-call parity relationship to determine value of P.