Estimate The Call Option and Put Option Premium for Stock Trading at Rs 1100 for a strike price of Rs 1200 for 3 months if Volatility of stock is 25% and Risk free rate is 5% per annum
Added by Suman S.
Step 1
The formula for d1 is: d1 = [ln(S/K) + (r + σ^2/2)T] / σ√T Where: S = Current stock price = Rs 1100 K = Strike price = Rs 1200 r = Risk-free rate = 5% = 0.05 σ = Volatility = 25% = 0.25 T = Time to expiration = 3 months = 0.25 years Substituting the values, we Show more…
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