It is found as follows:
Put Price = Xe-.rt * [1 - N(d2)] – S * [1 - N(d1)]
Where d1=(ln(90/90)+(.05+.04/2)1)/.2√1)=.35 and using the Normal Z table, 1-N(.35)=1-.6368=.3632.
d2=.35-.2√1=.15, and using the Normal Z table, 1-N(.15)=1-.5596=.4404.
So the put value = 90e(-.05*1)(.4404) - 90(.3632)=$5.01
微信号：gaoduntiku
合作账户登录：
账户名：
密码：
关注官方微信
微信号:gaoduneclass
高顿网校
售前咨询(9:00-21:00)
400-168-8811
在线客服点击咨询
售后咨询(9:00-21:00)
021-31068088
fankui@gaodun.com
微信扫一扫实时资讯全掌握
Copyright © 2006- 高顿网校, All Rights Reserved.
