Question

"TSLA stock price is currently at $800. The $1000-strike European TSLA call option expiring on December...

"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."

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

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

Please give thumbs up. It will help me.

0 0
Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
TSLA stock price is currently at $800. The $1000-strike European TSLA call option expiring on December...
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...
"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...
"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...
"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...
"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...
"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...
"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...
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...
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...
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.
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT