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You observe the following in relation to a 4 month European put option on the S&P200 index aStrike price of 3400 bThe S&P200 Index is currently at a level of 3600 cThe dividend yield is on the

You observe the following in relation to a 4-month European put option on the S&P200 index.

a)Strike price of 3400

b)The S&P200 Index is currently at a level of 3600

c)The dividend yield is on the S&P200 Index is 4% p.a compounded quarterly

d)The risk free interests rate is 5% p.a compounded semi-annually

e)The volatility of the S&P200 Index is 25% p.a.

REQUIRED:

Use Black-Scholes option pricing model to value the put option. State any assumptions you make.

Take into consideration different compouding. Please do manually and show all the steps

 

Apr 29 2020 View more View Less

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