Leon is interested in purchasing a European call and put option on Axia Berhad, with a strike price of RM55 and five year until expiration. Axia’sshare is currently trading RM59 per share, and the volatility is 35 percent per annum. Malaysia Treasury Bill‘s that mature in five year yield a continuously compounded interest rate of 9 percent per annum. Calculate the price of the call option and put option by using the Black-Scholes model.
