Question

A stock trades for $45 per share. A call option on that stock has a strike price of $54 and an expiration date six months in the future. The volatility of the stock's returns is

42%, and the risk-free rate is 44%. What is the Black and Scholes value of this option?

Answer #1

If risk free rate is 44%

&

If risk free rate is 4%

A stock trades for $46 per share. A call option on that stock
has a strike price of $53 and an expiration date twelve months in
the future. The volatility of the stock's returns is 38%, and the
risk-free rate is 4%. What is the Black and Scholes value of this
option?
The answer is $5.08. Please show your work in Excel

Intel Corporation (INTC) stock trades for $55.15 per share. A
June 2020 call option on that stock has a strike price of $49.50
and an expiration date approximately one year in the future. The
standard deviation of the stock’s return is 5.10%. The risk-free
rate is 1.00%. What is the Black and Scholes value of this call
option?
A. $6.15
B. $6.65
C. $7.56
D. $8.03

You are evaluating a European call option on a no-dividend
paying stock that is currently priced $42.05. The strike price for
the option is $45, the risk-free rate is3% per year, the volatility
is 18% per year, and the time to maturity is eleven months. Use the
Black-Scholes model to determine the price of the option.

Use the Black-Scholes formula to value the following
options:
a. A Call option written on a stock selling for $100 per share
with a $110 exercise price. The stock's standard deviation is 15%
per quarter. The option matures in three months. The risk free
interest is 3% per quarter.
b. A put option written on the same stock at the same time, with
the same exercise price and expiration date.
Now for each of these options find the combination of...

XYZ Stock currently trades for $45 per share. You find the
following options matrix (prices of calls and puts) for a June 1st
expiration date (which applies for all)
40 strike call option:
$9
40 strike put option: $2
45 strike call option:
$4
45 strike put option: $4
50 strike call option:
$2
50 strike put option: $9
55 strike call option:
$1
55 strike put option: $15
You believe that XYZ will be extremely volatile in the next...

1. Calculate the value of the D1 parameter for a call option in
the Black-Scholes model, given the following information: Current
stock price: $65.70 Option strike price: $74 Time to expiration: 7
months Continuously compounded annual risk-free rate: 3.79%
Standard deviation of stock return: 22%
2. Calculate the value of the D2 parameter for a call option in
the Black-Scholes model, given the following information: Current
stock price: $126.77 Option strike price: $132 Time to expiration:
6 months Continuously compounded...

1:Consider a European call option on a stock with current price
$100 and volatility 25%. The stock pays a $1 dividend in 1 month.
Assume that the strike price is $100 and the time to expiration is
3 months. The risk free rate is 5%. Calculate the price of the the
call option.
2: Consider a European call option with strike price 100, time
to expiration of 3 months. Assume the risk free rate is 5%
compounded continuously. If the...

A European call option on a stock with a strike price of $50 and
expiring in six months is trading at $14. A European put option on
the stock with the same strike price and expiration as the call
option is trading at $2. The current stock price is $60 and a $1
dividend is expected in three months. Zero coupon risk-free bonds
with face value of $100 and maturing after 3 months and 6 months
are trading at $99...

A European call option on a stock with a strike price of $50 and
expiring in six months is trading at $14. A European put option on
the stock with the same strike price and expiration as the call
option is trading at $2. The current stock price is $60 and a $1
dividend is expected in three months. Zero coupon risk-free bonds
with face value of $100 and maturing after 3 months and 6 months
are trading at $99...

A
European call option and put option on a stock both have a strike
price of $20 and an expiration date in three months. Both sell for
$3. The risk-free interest rate is 10 % per aunum, the current
stock price is $19 , and a $1 dividend is expected in one month.
identify the arbitrage oppotunity to a trader.

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