Question
Use Excel and anwer the question. The year-end values for the past 10 years of KOSPI200...
Use Excel and anwer the question.
271.19 238.08 263.92 264.24 244.05 240.38 260.01 324.74 261.98
293.77
Compute the volatility per annum. The risk free rate is 3
percent per annum and the current value of KOSPI200 is 290. Use the
Black-Scholes OPM and calculate the prices of European call and put
options with a strike price of 285 and the time to maturity of 6
months. You also have to show the value of d1, d2, N(d1) and N(d2)
in your answer (Ignore dividends).
Homework Answers
Answer #1
Not the answer you're looking for?
Similar Questions
Find the current fair values of a D1 month European call and a D2 month European...
Find the current fair values of a D1 month European call and a
D2 month European put option, using a current stock price of D3,
strike price of D4, volatility of D5, interest rate of D6 percent
per year, continuously, compounded. Obtain the current fair values
of the following:
1.European call by simulation.
2.European put by simulation.
3.European call by Black-Scholes model.
4.European put by Black-Scholes model.
D1
D2
D3
D4
D5 D6
11.2
10.9
31.7
32.6
0.65 9.5
A stock is currently traded for $135. The risk-free rate is 0.5% per year (continuously compounded...
A stock is currently traded for $135. The risk-free rate
is 0.5% per year (continuously compounded APR) and the stock’s
returns have an annual standard deviation (volatility) of 56%.
Using the Black-Scholes model, we can find prices for a call and a
put, both expiring 60 days from today and having strike prices
equal to $140.
(a) What values should you use for S, K, T−t, r, and σ
in the Black-Scholes formula?
S =
K =
T - t...
Assume risk-free rate is 5% per annum continuously compounded. Use Black-Scholes formula to find the price...
Assume risk-free rate is 5% per annum continuously compounded.
Use Black-Scholes formula to find the price the following
options:
European call with strike price of $72 and one year to maturity
on a non-dividend-paying stock trading at $65 with volatility of
40%.
European put with strike price of $65 and one year to maturity
on a non-dividend-paying stock trading at $72 with volatility of
40%
In this question, you need to price options with various approaches. You will consider puts and...
In this question, you need to price options with various
approaches. You will consider puts and calls on a share.
Based on this spot price (36) and this strike price (38) as well
as the fact that the risk-free interest rate is 6% per annum with
continuous compounding, please undertake option valuations and
answer related questions according to following instructions:
Binomial trees:
Additionally, assume that over each of the next two four-month
periods, the share price is expected to go...
A 3-month European call on a futures has a strike price of $100. The futures price...
A 3-month European call on a futures has a strike price of $100.
The futures price is $100 and the volatility is 20%. The risk-free
rate is 2% per annum with continuous compounding. What is the value
of the call option? (Use Black-Scholes-Merton valuation for futures
options)
Use Black-Scholes model to price a European call option Use the Black-Scholes formula to find the...
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
$
Use the Black-Scholes formula to calculate the value of a European call option on silver futures....
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...
You are given the following information about a European call option on Stock XYZ. Use the...
You are given the following information about a European call
option on Stock XYZ. Use the Black-Scholes model to determine the
price of the option:
Shares of Stock XYZ currently trade
for 90.00.
The stock pays dividends continuously
at a rate of 3% per year.
The call option has a strike price of
95.00 and one year to expiration.
The annual continuously compounded
risk-free rate is 6%.
It is known that d1 – d2 = .3000;
where d1 and d2...
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
Assume that you have been given the following information on Purcell Industris: (Formula in Excel) Current...
Assume
that you have been given the following information on Purcell
Industris: (Formula in Excel)
Current stock price =
$15.00
Strike price of option =
$15.00
Time of maturity of option =
6
months
Risk-free rate =
6%
Variance of stock return =
0.12
d1 =
0.24495
N(d1) =
0.59675
d2=
0
N(d2) =
0.5
Binomial Lattice of stock prices:
P=
P(u)=
Cu =
P(d) =
Cd=
πu =
πd
According to the
Black-Scholes option pricing model, what is the...
ADVERTISEMENT
Need Online Homework Help?
Get Answers For Free
Most questions answered within 1 hours.
ADVERTISEMENT
Active Questions
asked 25 minutes ago
asked 34 minutes ago
asked 37 minutes ago
asked 1 hour ago
asked 1 hour ago
asked 1 hour ago
asked 1 hour ago
asked 1 hour ago
asked 2 hours ago
asked 2 hours ago
asked 2 hours ago
asked 2 hours ago