$100.00
$100.00
1.00 Yrs
5.0%
20%
Conclusion
Based on the Black-Scholes model, the theoretical fair value of a European call option is $10.45, while a put option is valued at $5.57 given the current market parameters.
Call Option (C)
$10.45
Put Option (P)
$5.57
Intermediate Variables
d1 (Delta approx)0.3500
d20.1500