Question

"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."

Answer #1

The Black-Scholes formula is given as-

We know that N(d1) is the delta of the option. Hence, everything has been provided to calculate the price.

The formula for put is different in that the whole RHS is multiplied by -1 and instead of d1 and d2 we have -d1 and -d2. Since N(d1) = 0.45, N(-d1) = 1-0.45 = 0.55. And since N(d2) = 0.25, N(-d2) = 1-0.25 = 0.75.

Hence, the put price = 0.75 x 1000 x exp(0) - 0.55 x 800 = $310.

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."

"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

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 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 value of the call
option."

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.

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