Question

Current Price of Stock = 50

Divided Yield = 2%

Strike Price = 55

Time to Expiry = 6 months

Volatility = 35%

Risk-Free rate =4%

Using Black Scholes Model:

1. What is the Value of American Call option?

2. What is the Value of American Put Option?

solve it in excel.

Answer #1

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?

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 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

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...

The current price of a non-dividend paying stock is $50. Use a
two-step tree to value a American put option on
the stock with a strike price of $50 that expires in 12 months.
Each step is 6 months, the risk free rate is 5% per annum, and the
volatility is 50%. What is the value of the option according to the
two-step binomial model. Please enter your answer rounded to two
decimal places (and no dollar sign).

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?

A European call option on a stock with a strike price of $50 and
expiring in six months is trading at $14. A European put option on
the stock with the same strike price and expiration as the call
option is trading at $2. The current stock price is $60 and a $1
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...

A European call option on a stock with a strike price of $50 and
expiring in six months is trading at $14. A European put option on
the stock with the same strike price and expiration as the call
option is trading at $2. The current stock price is $60 and a $1
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...

Question 34
Black-Scholes
Option-Pricing
S
45
Current
stock price
X
50
Exercise
price
r
5.00%
Risk-free
rate of interest
T
9 months
Time to
maturity of option
Variance
6.308%
Stock
volatility
1.
Call option price =
4.63
2.
Call option price =
2.83
3.
Call option price =
2.93
4.
Call option price =
2.63
5.
None of Above

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