Question

- You are given the following information about a European call option on Stock XYZ. Use the Black-Scholes model to determine the price of the option:

Shares of Stock XYZ currently trade for 90.00.

The stock pays dividends continuously at a rate of 3% per year.

The call option has a strike price of 95.00 and one year to expiration.

The annual continuously compounded risk-free rate is 6%.

It is known that d1 – d2 = .3000; where d1 and d2 are defined in the usual manner in the Black-Scholes Model.

Compute the price of the call option.

Answer #1

Price of call is 9.5107

Find the current fair values of a D1 month European call and a
D2 month European put option, using a current stock price of D3,
strike price of D4, volatility of D5, interest rate of D6 percent
per year, continuously, compounded. Obtain the current fair values
of the following:
1.European call by simulation.
2.European put by simulation.
3.European call by Black-Scholes model.
4.European put by Black-Scholes model.
D1
D2
D3
D4
D5 D6
11.2
10.9
31.7
32.6
0.65 9.5

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...

Use Black-Scholes model to price a European call option
Use the Black-Scholes formula to find the value of a call option
based on the following inputs. [Hint: to find N(d1) and N(d2), use
Excel normsdist function.] (Round your final answer to 2
decimal places. Do not round intermediate
calculations.)
Stock price
$
57
Exercise price
$
61
Interest rate
0.08
Dividend yield
0.04
Time to expiration
0.50
Standard deviation of stock’s
returns
0.28
Call value
$

TSLA stock price is currently at $800. The 6-month $1000-strike
European call option on TSLA has a delta of 0.46. N(d2) of the
option is 0.26. TSLA does not pay dividend. Continuously
compounding interest rate is 5%. Compute the Black-Merton-Scholes
value of the TSLA European put option at the same strike and
expiry.

TSLA stock price is currently at $800. The 6-month $1000-strike
European call option on TSLA has a delta of 0.46. N(d2) of the
option is 0.26. TSLA does not pay dividend. Continuously
compounding interest rate is 5%. Compute the Black-Merton-Scholes
value of the TSLA European put option at the same strike and
expiry.

TSLA stock price is currently at $800. The 6-month $1000-strike
European call option on TSLA has a delta of 0.46. N(d2) of the
option is 0.26. TSLA does not pay dividend. Continuously
compounding interest rate is 5%. Compute the Black-Merton-Scholes
value of the TSLA European put option at the same strike and
expiry.

TSLA stock price is currently at $800. The 6-month $1000-strike
European call option on TSLA has a delta of 0.46. N(d2) of the
option is 0.26. TSLA does not pay dividend. Continuously
compounding interest rate is 5%. Compute the Black-Merton-Scholes
value of the call option.

Peter has just sold a European call option on 10,000 shares of a
stock. The exercise price is $50; the stock price is $50; the
continuously compounded interest rate is 5% per annum; the
volatility is 20% per annum; and the time to maturity is 3 months.
(a) Use the Black-Scholes-Merton model to compute the price of the
European call option. (b) Find the value of a European
put option with the same exercise price and expiration as the call...

This question refers to the Black-Scholes-Merton model of
European call option pricing for a non-dividend-paying stock.
Please note that one or more of the answer choices may lack some
mathematical formatting because of limitations of Canvas Quizzes.
Please try to overlook such issues when judging the choices.
Which quantity can be interpreted as the present value of the
strike price times the probability that the call option is in the
money at expiration?
Group of answer choices
Gamma
K∙e^(rT)∙N(d2)
Delta...

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...

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