Question

A non-dividend paying stock sells for $110. A call on the stock has an exercise price...

A non-dividend paying stock sells for $110. A call on the stock has an exercise price of $105 and expires in 6 months. If the annual interest rate is 11% (0.11) and the annual standard deviation of the stock’s returns is 25% (0.25), what is the price of a European call option according to the Black-Scholes-Merton option pricing model.

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1

SEE THE IMAGE. ANY DOUBTS, FEEL FREE TO ASK. THUMBS UP PLEASE

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
A non-dividend paying stock sells for $110. A call on the stock has an exercise price...
A non-dividend paying stock sells for $110. A call on the stock has an exercise price of $105 and expires in 6 months. If the annual interest rate is 11% (0.11) and the annual standard deviation of the stock’s returns is 25% (0.25), what is the price of a European put option according to the Black-Scholes-Merton option pricing model. 13.86 3.24 4.35 6.45
Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price...
Consider an option on a non-dividend-paying stock when the stock price is $30, the exercise price is $29, the risk-free interest rate is 5% per annum, the volatility is 25% per annum, and the time to maturity is four months. Assume that the stock is due to go ex-dividend in 1.5 months. The expected dividend is 50 cents. Using the Black-Scholes-Merton model, what is the price of the option if it is a European put?
What is the price of a European call option on a non-dividend-paying stock when the stock...
What is the price of a European call option on a non-dividend-paying stock when the stock price is $52, the strike price is $50, the risk-free interest rate is 12% per annum, the volatility is 30% per annum, and the time to maturity is three months? (Hint: Remember Black- Sholes-Merton Model. Please refer to the N(d) tables provided to you to pick the N values you need)
Consider a six-month European call option on a non-dividend-paying stock. The stock price is $30, the...
Consider a six-month European call option on a non-dividend-paying stock. The stock price is $30, the strike price is $29, and the continuously compounded risk-free interest rate is 6% per annum. The volatility of the stock price is 20% per annum. What is price of the call option according to the Black-Schole-Merton model? Please provide you answer in the unit of dollar, to the nearest cent, but without the dollar sign (for example, if your answer is $1.02, write 1.02).
This question refers to the Black-Scholes-Merton model of European call option pricing for a non-dividend-paying stock....
This question refers to the Black-Scholes-Merton model of European call option pricing for a non-dividend-paying stock. Please note that one or more of the answer choices may lack some mathematical formatting because of limitations of Canvas Quizzes. Please try to overlook such issues when judging the choices. Which quantity can be interpreted as the present value of the strike price times the probability that the call option is in the money at expiration? Group of answer choices Gamma K∙e^(rT)∙N(d2) Delta...
Price a European call option on non-dividend paying stock by using a binomial tree. Stock price...
Price a European call option on non-dividend paying stock by using a binomial tree. Stock price is €50, volatility is 26% (p.a.), the risk-free interest rate is 5% (p.a. continuously compounded), strike is € 55, and time to expiry is 6 months. How large is the difference between the Black-Scholes price and the price given by the binomial tree?
Price a European call option on non-dividend paying stock by using a binomial tree. Stock price...
Price a European call option on non-dividend paying stock by using a binomial tree. Stock price is €50, volatility is 26% (p.a.), the risk-free interest rate is 5% (p.a. continuously compounded), strike is € 55, and time to expiry is 6 months. How large is the difference between the Black-Scholes price and the price given by the binomial tree?
Consider an option on a non-dividend-paying stock when the stock is $ 30, the exercise price...
Consider an option on a non-dividend-paying stock when the stock is $ 30, the exercise price is $29. The risk –free rate is 5% per annum, the volatility is 25% per annum, and the time to maturity is four months. (a) What is the price of the option if it is European call? (b) What is the price of option if it is an American call? (c) What is the price of the option if it is a European put?
Consider an option on a non-dividend-paying stock when the stock price is $52, the exercise price...
Consider an option on a non-dividend-paying stock when the stock price is $52, the exercise price is $50, the risk-free interest rate is 10% per annum, the volatility is 30% per annum, and time to maturity is 3 months What is the price of the option if it is a European call?
You are evaluating a European call option on a no-dividend paying stock that is currently priced...
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.
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT