Question

Assume risk-free rate is 5% per annum continuously compounded. Use Black-Scholes formula to find the price the following options:

- European call with strike price of $72 and one year to maturity on a non-dividend-paying stock trading at $65 with volatility of 40%.
- European put with strike price of $65 and one year to maturity on a non-dividend-paying stock trading at $72 with volatility of 40%

Answer #1

**NO INTERMEDIATE ROUNDING IS DONE. ONLY WRITTEN IN EXCEL.
NO EXCEL FUNCTION IS USED. THANK YOU.**

A stock is currently traded for $135. The risk-free rate
is 0.5% per year (continuously compounded APR) and the stock’s
returns have an annual standard deviation (volatility) of 56%.
Using the Black-Scholes model, we can find prices for a call and a
put, both expiring 60 days from today and having strike prices
equal to $140.
(a) What values should you use for S, K, T−t, r, and σ
in the Black-Scholes formula?
S =
K =
T - t...

What is the price of a European put option on a
non-dividend-paying stock when the stock price is $100, the strike
price is $100, the risk-free interest rate is 8% per annum, the
volatility is 25% per annum, and the time to maturity is 1 month?
(Use the Black-Scholes formula.)

stock price 42.27
strike 40
maturity 26 days
risk free 4.92%
volatility 45.75%
use black scholes in excel to comput the call and put option
value

A call option has 20 days to mature. The continuously compounded
annual risk free rate is 1%. The stock price is 28.40. The exercise
price is 29. The annualized volatility is 0.27. Dividend yield is
zero. What is the delta of this option? What is the Black-Scholes
put price for the data of above question?

CSL share price is currently $270. The riskfree rate of interest
is 4% per annum continuously compounded.
A European call option written on CSL with a $275 strike price
is trading at $34.82.
A European put option written on CSL with a $275 strike price is
trading at $29.85. Both of these options expire one year from
now.
Given the observed market prices for these CSL options
noted above, there is no mispricing that would allow an arbitrage
profit:
Select...

Using the Black-Scholes Option Pricing Model, what is
the maximum price you should pay for a European call options on a
non-dividend paying stock when the stock price is GHS70.00, the
strike price GHS75.00, with a risk-free rate of 6% per year and a
volatility 19% per year. The time to expiration is half a year?
(7marks)
Using your answer above how many call options must you buy in
order to create a perfect hedge given that you currently...

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 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?

A stock’s current price S is $100. Its return has a volatility
of s = 25 percent per year. European call and put options trading
on the stock have a strike price of K = $105 and mature after T =
0.5 years. The continuously compounded risk-free interest rate r is
5 percent per year. The Black-Scholes-Merton model gives the price
of the European put as:
please provide explanation

You are given
(1) A stock's price is 45.
(2) The continuously compounded risk-free rate is 6%.
(3) The stock's continuous dividend rate is 3%.
A European 1-year call option with a strike of 50 costs 6.
Determine the premium for a European 1-year put option with a
strike of 50.

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 18 minutes ago

asked 20 minutes ago

asked 21 minutes ago

asked 21 minutes ago

asked 32 minutes ago

asked 32 minutes ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 2 hours ago