Question

Consider a European put option on a non-dividend-paying stock. The current stock
price is $69, the strike price is $70, the risk-free interest rate is 5% per annum, the
volatility is 35% per annum and the time to maturity is 6 months.
a. Use the Black-Scholes model to calculate the put price.
b. Calculate the corresponding call option using the put-call parity relation. Use the
Option Calculator Spreadsheet to verify your result.

Answer 1

a. Value of Put using Black-Scholes model:

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -

b. Corresponding Call price using the Put-call parity

Where,

E = Exercise Price

S = Current underlying asset price

P = Put Premium

C = Call Premium

r = risk free rate

T =Time to maturity

putting the values

Hope this will help, please do comment if you need any further explanation. Your feedback would be highly appreciated.