Diandra is interested in purchasing a European call and put option on AXL Berhad, with a strike price of RM55 and five year until expiration. AXL’s share is currently trading RM59 per share, and the volatility is 35 percent per annum. Malaysia Treasury Bill‘s that mature in five year yield a continuously compounded interest rate of 9 percent per annum. Calculate the price of the call option and put option by using the Black-Scholes model if d₁=1.0560 and d₂=0.2734.

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08-08-2024
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Diandra is interested in purchasing a European call and put option on AXL Berhad, with a strike price of RM55 and five year until expiration. AXL’s share is currently trading RM59 per share, and the volatility is 35 percent per annum. Malaysia Treasury Bill‘s that mature in five year yield a continuously compounded interest rate of 9 percent per annum. Calculate the price of the call option and put option by using the Black-Scholes model if d₁=1.0560 and d₂=0.2734.

Sagot :

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