Results 1 to 2 of 2

Math Help - European put option

  1. #1
    Member
    Joined
    Mar 2009
    Posts
    179
    Thanks
    1

    European put option

    Hi all, any ideas on this....

    A European put option with strike price K and maturity 6 months (= 0.5 years) is
    written on a stock whose price follows a G.B.M. Suppose that the current price of stock is S0 = 20, the risk free interest rate is 5% and the volatility is \sigma^2 = 4% (both per annum).
    Find the fair price of this option. Leave your answer in terms of K
    Follow Math Help Forum on Facebook and Google+

  2. #2
    Member
    Joined
    Dec 2007
    Posts
    80
    Awards
    1
    Hi. Did you solve it? I'd like to see how...

    I tried and came out with log-normal CDF. Meaning, I could not write the PUT value as a simple function of K.

    If you got to the solution, can you pls share? Thanks!
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. European call option
    Posted in the Business Math Forum
    Replies: 4
    Last Post: October 12th 2011, 11:42 AM
  2. extrapolation on european call pricing problem
    Posted in the Advanced Applied Math Forum
    Replies: 0
    Last Post: April 10th 2010, 12:40 PM
  3. Call option and Put option
    Posted in the Business Math Forum
    Replies: 1
    Last Post: April 9th 2010, 08:14 AM
  4. Determine the cost of a European Vanilla Call option
    Posted in the Business Math Forum
    Replies: 0
    Last Post: November 27th 2008, 09:05 AM
  5. Why European Roulette?
    Posted in the Statistics Forum
    Replies: 4
    Last Post: August 5th 2008, 11:25 PM

Search Tags


/mathhelpforum @mathhelpforum