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A B C D E F G H I J
Build a Model Solution 11/26/2018
Chapter:
8
s = 0.50
a. Using the Black-Scholes Option Pricing Model, what is the value of the call option?
(d2) = -0.316 N(d2) = 0.376125
VC= $7.803
b. Suppose there is a put option on Puckett's stock with exactly the same inputs as the call option. What is
the value of the put?