Question

**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 price of
$60 are currently selling for $1.25 and $5.50, respectively and
both options have an expiration date of 12 months from today. Based
on put-call parity, what is the risk-free rate implied by this
investment?**

A. 3.9%

B. 16.3%

C. 5.11%

D. 4.25%

Answer #1

1.

1.04

2.

=X/(S+P-C)-1

=60/(62+1.25-5.50)-1

=3.89610%

=3.9%

Use the Black-Scholes formula to value the following
options:
a. A Call option written on a stock selling for $100 per share
with a $110 exercise price. The stock's standard deviation is 15%
per quarter. The option matures in three months. The risk free
interest is 3% per quarter.
b. A put option written on the same stock at the same time, with
the same exercise price and expiration date.
Now for each of these options find the combination of...

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

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...

. 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.

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.

Calculate the price of a European call option using the Black
Scholes model and the following data: stock price = $56.80,
exercise price = $55, time to expiration = 15 days, risk-free rate
= 2.5%, standard deviation = 22%, dividend yield = 8%.

7. Use the Black -Scholes formula to find the value of a call
option on the following stock:
Time to expiration = 6 months
Standard deviation = 50% per year
Exercise price = $50 Stock price = $50
Interest rate = 3%
Dividend = 0
8. Find the Black -Scholes value of a put option on the stock in
the previous problem with the same exercise price and expiration as
the call option.
NEED HELP WITH NUMBER 8

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

An analyst is interested in using the Black-Scholes model to
value call options on the stock of Ledbetter Inc. The analyst has
accumulated the following information: The price of the stock is
$30. The strike price is $22. The option matures in 4 months. The
standard deviation of the stock’s returns is 0.40. The risk-free
rate is 4%. Using the Black-Scholes model, what is the value of the
call option?

Use the Black-Scholes formula to calculate the value of a
European call option on silver futures. The option matures in six
months. The current nine-month futures price is $10 per oz, the
strike price of the option is $8, the risk free interest rate is
12% per annum and the volatility of the futures price is 18% per
annum. Use the NORM.S.DIST(x) function in Excel. Round to two
decimals.
What is the delta of the call option on the futures...

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