Question
Use Excel and anwer the question. The year-end values for the past 10 years of KOSPI200...
Use Excel and anwer the question.
271.19 238.08 263.92 264.24 244.05 240.38 260.01 324.74 261.98
293.77
Compute the volatility per annum. The risk free rate is 3
percent per annum and the current value of KOSPI200 is 290. Use the
Black-Scholes OPM and calculate the prices of European call and put
options with a strike price of 285 and the time to maturity of 6
months. You also have to show the value of d1, d2, N(d1) and N(d2)
in your answer (Ignore dividends).
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