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 value of the call option."

Answer #1

Given, Zero interest rate

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

Computing the Black-Merton-Scholes value of the call option

=S*N(D1)-K*N(D2)

=800*0.45-1000*0.25

=110

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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 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 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."

Sample homeworks questions:
Apple stock price is currently at $800. The $1000-strike
European Apple call option expiring on December 18, 2020 has 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.

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