Question

TSLA stock price is currently at $800. The stock return has an annualized volatility (sigma) of 70%. The stock does not pay dividend and assume zero interest rate. Compute the Black-Merton-Scholes delta on a 6-month European call option on TSLA with a strike of $1000.

Answer #1

**JUST WRITTEN IN EXCEL, NO EXCEL FUNCTION IS
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TSLA stock price is currently at $800. The stock return has an
annualized volatility (sigma) of 70%. The stock does not pay
dividend and assume zero interest rate. Compute the
Black-Merton-Scholes delta on a 6-month European call option on
TSLA with a strike of $1000.

Great Edventure stock is at $800. The return has an annualized
volatility (sigma) of 70%. IT pays no dividend and we are given a
zero interest rate. Compute the Black-Merton-Scholes value on a
6-month European call option onGreat adevtnrue with a strike price
at $1000.

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.

"TSLA stock price is currently at $800. The $1000-strike
European TSLA call option expiring on December 18, 2020 has a delta
of 0.45. N(d2) of the option is 0.25. Assume zero interest rate and
no dividend. Compute the Black-Merton-Scholes delta (in decimals
with correct signs) of the TSLA European put option at the same
strike and expiry."

TSLA stock price is currently at $800. The $1000-strike European
TSLA call option expiring on December 18, 2020 has a delta of 0.45.
N(d2) of the option is 0.25. Assume zero interest rate and no
dividend. Compute the Black-Merton-Scholes delta (in decimals with
correct signs) of the TSLA European put option at the same strike
and expiry."

"TSLA stock price is currently at $800. The $1000-strike
European TSLA call option expiring on December 18, 2020 has a delta
of 0.45. N(d2) of the option is 0.25. Assume zero interest rate and
no dividend. 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 $1000-strike
European TSLA call option expiring on December 18, 2020 has a delta
of 0.45. N(d2) of the option is 0.25. Assume zero interest rate and
no dividend. Compute the Black-Merton-Scholes value of the TSLA
European put option at the same strike and expiry."

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