SYS_EXTRACTION_INIT
DOWNLINKING VECTOR PARAMETERS
DECRYPTING CORE ALGORITHMS...
DECRYPTING CORE ALGORITHMS...
Audit the value. Calculate the theoretical price of European call and put options using the Black-Scholes-Merton model.
Based on the Black-Scholes model, with a volatility of 20%, the fair value of a call option at strike $105 is $4.58. This assumes the stock price follows a geometric Brownian motion and that there are no transaction costs or dividends.