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QUESTION
SupposeS=$100,K=$95,=30%,r=0.08,=0.03,andT=0. Compute the Black-Scholes price of a call. Compute the Black-Scholes price of a call for which S = $100...
- SupposeS=$100,K=$95,σ=30%,r=0.08,δ=0.03,andT=0.75.
- a. Compute the Black-Scholes price of a call.
- b. Compute the Black-Scholes price of a call for which S = $100 × e−0.03×0.75, K = $95 × e−0.08×0.75, σ = 0.3, T = 0.75, δ = 0, r = 0. How does your answer compare to that for (a)?
