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    Black Scholes Merton Model

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    A) Using the Black-Scholes-Merton model, calculate the price of a call and put given a market price of the underlying stock of $83, the exercise price of $85, 65 days to expiration, a risk-free rate of 4.5 percent, and the historical annual standard deviation of 30 percent.

    B) Does an arbitrage opportunity exist and what is it?

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    Solution Summary

    Black Scholes Merton Model is illustrated in this tutorial.

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