Question

Current Price of Stock = 50 Divided Yield = 2% Strike Price = 55 Time to...

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.

Homework Answers

Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
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?
stock price 42.27 strike 40 maturity 26 days risk free 4.92% volatility 45.75% use black scholes...
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...
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...
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...
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...
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...
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...
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...
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