Question

A stock trades for $46 per share. A call option on that stock has a strike price of $53 and an expiration date twelve months in the future. The volatility of the stock's returns is 38%, and the risk-free rate is 4%. What is the Black and Scholes value of this option?

The answer is $5.08. Please show your work in Excel

Answer #1

**Difference due to not rounding off intermediate
calculations.**

A stock trades for $45 per share. A call option on that stock
has a strike price of $54 and an expiration date six months in the
future. The volatility of the stock's returns is
42%, and the risk-free rate is 44%. What is the Black and
Scholes value of this option?

Intel Corporation (INTC) stock trades for $55.15 per share. A
June 2020 call option on that stock has a strike price of $49.50
and an expiration date approximately one year in the future. The
standard deviation of the stock’s return is 5.10%. The risk-free
rate is 1.00%. What is the Black and Scholes value of this call
option?
A. $6.15
B. $6.65
C. $7.56
D. $8.03

1:Consider a European call option on a stock with current price
$100 and volatility 25%. The stock pays a $1 dividend in 1 month.
Assume that the strike price is $100 and the time to expiration is
3 months. The risk free rate is 5%. Calculate the price of the the
call option.
2: Consider a European call option with strike price 100, time
to expiration of 3 months. Assume the risk free rate is 5%
compounded continuously. If the...

1. What is the
value of the following call option according to the Black Scholes
Option Pricing Model? What is the value of the put options?
Stock Price = $55.00
Strike Price = $50.00
Time to Expiration = 3 Months = 0.25 years.
Risk-Free Rate = 3.0%.
Stock Return Standard Deviation = 0.65.
SHOW ALL WORK

Use the Black-Scholes formula to value the following
options:
a. A Call option written on a stock selling for $100 per share
with a $110 exercise price. The stock's standard deviation is 15%
per quarter. The option matures in three months. The risk free
interest is 3% per quarter.
b. A put option written on the same stock at the same time, with
the same exercise price and expiration date.
Now for each of these options find the combination of...

Assume the following inputs for a call option: (1) current stock
price is $34, (2) strike price is $37, (3) time to expiration is 5
months, (4) annualized risk-free rate is 6%, and (5) variance of
stock return is 0.25. The data has been collected in the Microsoft
Excel Online file below. Open the spreadsheet and perform the
required analysis to answer the question below. Open spreadsheet
Use the Black-Scholes model to find the price for the call option.
Do...

1. Calculate the value of the D1 parameter for a call option in
the Black-Scholes model, given the following information: Current
stock price: $65.70 Option strike price: $74 Time to expiration: 7
months Continuously compounded annual risk-free rate: 3.79%
Standard deviation of stock return: 22%
2. Calculate the value of the D2 parameter for a call option in
the Black-Scholes model, given the following information: Current
stock price: $126.77 Option strike price: $132 Time to expiration:
6 months Continuously compounded...

A European call option on a stock with a strike price of $75 and
expiring in six months is trading at $5. A European put option on
the stock with the same strike price and expiration as the call
option is trading at $15. The current stock price is $64 and a $2
dividend is expected in three months. Zero coupon risk‐free bonds
with face value of $100 and maturing after 3 months and 6 months
are trading at $99...

. Assume the following for a stock and a call option written on
the stock.
EXERCISE PRICE = $30
CURRENT STOCK PRICE = $30
Standard Deviation = .35 (square it to find variance)
TIME TO EXPIRATION = 3 MONTHS = .25
RISK FREE RATE = 4%
Use the Black Scholes procedure to determine the value of the
call option.
Use the Black Scholes procedure to determine the value of the
Put option

You are evaluating a European call option on a no-dividend
paying stock that is currently priced $42.05. The strike price for
the option is $45, the risk-free rate is3% per year, the volatility
is 18% per year, and the time to maturity is eleven months. Use the
Black-Scholes model to determine the price of the option.

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