Question

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 $

Answer #1

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

Use the Black-Scholes formula to find the value of a call option
based on the following inputs. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
12.00
Exercise price
$
5.00
Interest rate
5.00
%
Dividend yield
4.00
%
Time to expiration
0.4167
Standard deviation of stock’s
returns
31.00
%
Call value
$

. Use the Black-Scholes model to find the price for a call
option with the following inputs: (1) current stock price is $45,
(2) exercise price is $50, (3) time to expiration is 3 months, (4)
annualized risk-free rate is 3%, and (5) variance of stock return
is 0.50.
. Using the information from question above, find the value of a
put with a $50 exercise price.

Use the Black-Scholes model to calculate the theoretical value
of a DBA December 45 call option. Assume that the risk free rate of
return is 6 percent, the stock has a variance of 36 percent, there
are 91 days until expiration of the contract, and DBA stock is
currently selling at $50 in the market. [Hint: Use Excel's
NORMSDIST() function to find N(d1) and N(d2)]

Black-Scholes Model Use the Black-Scholes Model to find the
price for a call option with the following inputs: (1) Current
stock price is $21. (2) Strike price is $24. (3) Time to expiration
is 5 months. (4) Annualized risk-free rate is 4%. (5) Variance of
stock return is 0.17. Round your answer to the nearest cent. In
your calculations round normal distribution values to 4 decimal
places.
Please show step by step calculations in excel. Thank you

7. Use the Black -Scholes formula to find the value of a call
option on the following stock:
Time to expiration = 6 months
Standard deviation = 50% per year
Exercise price = $50 Stock price = $50
Interest rate = 3%
Dividend = 0
8. Find the Black -Scholes value of a put option on the stock in
the previous problem with the same exercise price and expiration as
the call option.
NEED HELP WITH NUMBER 8

Use the Black-Scholes model to find the value for a European put
option that has an exercise price of $49.00 and 0.4167 years to
expiration. The underlying stock is selling for $40.00 currently
and pays an annual dividend yield of 0.01. The standard deviation
of the stock’s returns is 0.4400 and risk-free interest rate is
0.06. (Round your final answer to 2 decimal places. Do not
round intermediate calculations.)
Put value
$
?

Use the Black-Scholes option pricing model for the following
problem. Given: stock price=$60, exercise price=$50, time to
expiration=3 months, standard deviation=35% per year, and annual
interest rate=6%.No dividends will be paid before option expires.
What are the N(d1), N(d2), and the value of the call option,
respectively?

Calculate the price of a European call option using the Black
Scholes model and the following data: stock price = $56.80,
exercise price = $55, time to expiration = 15 days, risk-free rate
= 2.5%, standard deviation = 22%, dividend yield = 8%.

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...

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