Question

**A put option maturing in 6 months is priced using the
Black-Scholes model. Strike price is 105, current price is 111 and
the stock pays no dividend**

**value of d2= .390 and the current
risk-free interest rate is 4%. The price of the put option is 4.45.
Calculate the delta (Δ) of the put option? Show work
please.**

Answer #1

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

Excel Online Structured Activity: Black-Scholes Model
Black-Scholes Model
Current price of underlying stock, P
$33.00
Strike price of the option, X
$40.00
Number of months unitl expiration
5
Formulas
Time until the option expires, t
#N/A
Risk-free rate, rRF
3.00%
Variance, σ2
0.25
d1 =
#N/A
N(d1) =
0.5000
d2 =
#N/A
N(d2) =
0.5000
VC =
#N/A

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...

Black-Scholes Model Use the Black-Scholes Model to find the
price for a call option with the following inputs: (1) Current
stock price is $21. (2) Strike price is $24. (3) Time to expiration
is 5 months. (4) Annualized risk-free rate is 4%. (5) Variance of
stock return is 0.17. Round your answer to the nearest cent. In
your calculations round normal distribution values to 4 decimal
places.
Please show step by step calculations in excel. Thank you

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

In addition to the five factors, dividends also affect the price
of an option. The Black–Scholes Option Pricing Model with dividends
is:
C=S×e−dt×N(d1)−E×e−Rt×N(d2)C=S×e−dt×N(d1)−E×e−Rt×N(d2)
d1=[ln(S/E)+(R−d+σ2/2)×t](σ−t√)d1= [ln(S /E ) +(R−d+σ2/2)×t ] (σ−t)
d2=d1−σ×t√d2=d1−σ×t
All of the variables are the same as the Black–Scholes model
without dividends except for the variable d, which is the
continuously compounded dividend yield on the stock.
A stock is currently priced at $88 per share, the standard
deviation of its return is 44 percent...

Use the Black-Scholes model to find the price for a call option
with the following inputs: (1) current stock price is $30, (2)
strike price is $37, (3) time to expiration is 3 months, (4)
annualized risk-free rate is 5%, and (5) variance of stock return
is 0.16. Do not round intermediate calculations. Round your answer
to the nearest cent.
$ ??????
PLEASE SHOW THE FORMULA!! Thank you :)

Use the Black-Scholes model to find the value for a European put
option that has an exercise price of $49.00 and 0.4167 years to
expiration. The underlying stock is selling for $40.00 currently
and pays an annual dividend yield of 0.01. The standard deviation
of the stock’s returns is 0.4400 and risk-free interest rate is
0.06. (Round your final answer to 2 decimal places. Do not
round intermediate calculations.)
Put value
$
?

. Use the Black-Scholes model to find the price for a call
option with the following inputs: (1) current stock price is $45,
(2) exercise price is $50, (3) time to expiration is 3 months, (4)
annualized risk-free rate is 3%, and (5) variance of stock return
is 0.50.
. Using the information from question above, find the value of a
put with a $50 exercise price.

Using the Black-Scholes option valuation, calculate the
value of a put option under the following parameters:
The underlying stock's current market price is $40; the
exercise price is $35; the time to expiry is 6 months; the standard
deviation is 0.31557; and the risk free rate of return is
8%.
A. $8.36
B. $1.04
C. $6.36
D. $2.20
The current market price of one share of ABC, Inc. stock
is $62. European style put and call options with a strike...

Black-Scholes Model
Assume that you have been given the following information on
Purcell Industries:
Current stock price = $15
Strike price of option = $14
Time to maturity of option = 9 months
Risk-free rate = 6%
Variance of stock return = 0.13
d1 = 0.52119
N(d1) = 0.69888
d2 = 0.20894
N(d2) = 0.58275
According to the Black-Scholes option pricing model, what is the
option's value? Do not round intermediate calculations. Round your
answer to the nearest cent. Use...

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 3 minutes ago

asked 7 minutes ago

asked 21 minutes ago

asked 22 minutes ago

asked 31 minutes ago

asked 31 minutes ago

asked 45 minutes ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 2 hours ago

asked 2 hours ago