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Use the Black-Scholes option pricing model to value the European call and put options on the stock. Both options have the same exercise price and the same expiration date. The stock pays no dividends.
Stock price = $110 per share
Exercise price = $100 per share
Continuously compounded annual risk free rate of return = 5 percent
Time to option expiration date = 8 months
Annualized standard deviation of stock returns = 30 percent
Annual required return on equity = 15%