The following data relate to the FTSE 100 index.
Current price 7125
Dividend Yield 2.95%
Volatility 13.25%
The risk-free rate of interest is 1%.
i) Estimate the value of a European exercise call option on the index with an exercise
price of 7100 and 100 days to run.
ii) Estimate the value of a European exercise put option on the index with the same
exercise price and expiry date.
(Pretty sure the Black-Scholes Merton model is used to complete this but I don’t fully understand, answer length not important as long as workings are shown)