Use the formula and put-call parity to compute put and call


When pricing options with the Black-Scholes-Merton formula, describe how option prices change, as changes occurs in volatility, strike price, duration, and risk-free force of interest. Use the formula and put-call parity to compute put and call prices for 3-month European options, on a stock selling now for 100 with a strike price of 110, 100 and 90 respectively, assuming σ is 0.2 and the force of interest for a 1-year period is 0.06. Verify your conclusions above by repeating the calculations for other values of σ, δ and duration.

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Basic Statistics: Use the formula and put-call parity to compute put and call
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