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MMLU-Pro / 208 / You are asked to determine the price of a European put option on a stock.…

Problem

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question

You are asked to determine the price of a European put option on a stock. Assuming the Black-Scholes framework holds, you are given: (i) The stock price is

100. (ii) The put option will expire in 6 months. (iii) The strike price is

98. (iv) The continuously compounded risk-free interest rate is r = 0.055. (v) δ = 0.01 (vi) σ = 0.50. What is the price of the put option?

Plain-text mathematical notation (without MathML)

You are asked to determine the price of a European put option on a stock. Assuming the Black-Scholes framework holds, you are given: (i) The stock price is 100.(ii)Theputoptionwillexpirein6months.(iii)Thestrikepriceis98. (iv) The continuously compounded risk-free interest rate is r = 0.055. (v) δ = 0.01 (vi) σ = 0.50. What is the price of the put option?

Original LaTeX notation

You are asked to determine the price of a European put option on a stock. Assuming the Black-Scholes framework holds, you are given: (i) The stock price is $100. (ii) The put option will expire in 6 months. (iii) The strike price is $98. (iv) The continuously compounded risk-free interest rate is r = 0.055. (v) δ = 0.01 (vi) σ = 0.50. What is the price of the put option?

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Source and history

upstream_id / Original problem ID: 208
task_id: 7187f583-ea2e-58ed-b36d-8082a022d5fd
task_key: default--test--208
task_revision_id: 1
config / split: default / test

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