Hi im stuck on a homework problem and wanted to see if anyone can help me.
The current stock price of a company is $54.50, the continuous annual standard deviation was 53.00%, the exercise price of an European call on the stock is $58.00, the exercise price of an European put on the stock is $58.00, the time to maturity for both options is 0.43 years, and the yield on a risk-free Treasury Bill maturity on the same date at the options is 6.72%. Determine the current prices of the call and put.
I know how to solve for the call and put price, but where I got lost was the standard deviation. I've never had to do a problem like this using the deviation. If anyone can help i would really appreciate it.
The current stock price of a company is $54.50, the continuous annual standard deviation was 53.00%, the exercise price of an European call on the stock is $58.00, the exercise price of an European put on the stock is $58.00, the time to maturity for both options is 0.43 years, and the yield on a risk-free Treasury Bill maturity on the same date at the options is 6.72%. Determine the current prices of the call and put.
I know how to solve for the call and put price, but where I got lost was the standard deviation. I've never had to do a problem like this using the deviation. If anyone can help i would really appreciate it.
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