Question

Use the Black-Scholes formula to find the value of a call option
based on the following inputs. **(Round your final answer to
2 decimal places. Do not round intermediate
calculations.)**

Stock price | $ | 12.00 | ||||

Exercise price | $ | 5.00 | ||||

Interest rate | 5.00 | % | ||||

Dividend yield | 4.00 | % | ||||

Time to expiration | 0.4167 | |||||

Standard deviation of stock’s returns | 31.00 | % | ||||

Call value $

Answer #1

Stock Price = S = $ 12, Exercise Price = X = $ 5, Initerest Rate = r = 5 %, Dividend yield = q = 4 %,Time to Expiration = t = 0.4167 and Standard Deviation of the Stock = = 31 %

The Black-Scholes Formula is as given below in the image:

d1 = [ln(12/5) + 0.4167 x {0.05 - 0.04 + (0.31)^(2)/2} ]/ 0.31 x (0.4167)^(0.5) = 4.49577

d2 = 4.49577 - 0.31 x (0.4167)^(0.5) = 4.29566

Call Option Value = C = [N(4.49577) x 12] / EXP(0.04 x 0.4167) - [N(4.29566) x 5] / EXP(0.05 x 0.4167) = [0.999997 x 12] / EXP(0.04 x 0,4167) - [0.999991 x 5[ / EXP(0.05 x 0,4167) = $ 6.905 or $ 6.91 approximately.

Use the Black-Scholes formula to find the value of a call option
based on the following inputs. [Hint: to find N(d1) and N(d2), use
Excel normsdist function.] (Round your final answer to 2 decimal
places. Do not round intermediate calculations.) Stock price $ 57
Exercise price $ 61 Interest rate 0.08 Dividend yield 0.04 Time to
expiration 0.50 Standard deviation of stock’s returns 0.28

Use Black-Scholes model to price a European call option
Use the Black-Scholes formula to find the value of a call option
based on the following inputs. [Hint: to find N(d1) and N(d2), use
Excel normsdist function.] (Round your final answer to 2
decimal places. Do not round intermediate
calculations.)
Stock price
$
57
Exercise price
$
61
Interest rate
0.08
Dividend yield
0.04
Time to expiration
0.50
Standard deviation of stock’s
returns
0.28
Call value
$

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

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 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...

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 :)

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

. 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.

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%.

Use the Black-Scholes formula for the following stock:
Time to expiration 6 months
Standard deviation 44%
per year Exercise price $46
Stock price $45
Annual interest rate 4%
Dividend 0
Calculate the value of a call option.

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 7 minutes ago

asked 7 minutes ago

asked 23 minutes ago

asked 27 minutes ago

asked 36 minutes ago

asked 48 minutes ago

asked 49 minutes ago

asked 1 hour ago

asked 1 hour ago

asked 2 hours ago

asked 2 hours ago

asked 2 hours ago