Question

If N(d1) = 0.27525 and N(d2) = 0.20922, risk free rate = 4%, time to maturity...

If N(d1) = 0.27525 and N(d2) = 0.20922, risk free rate = 4%, time to maturity = 1 year, exercise or strike price = 50, and the current price = 48, what is the value of the call option contract?

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1

0 0
Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
What would be the option price if S0=49, risk-free rate=5%, σ=20%, Strike Price = 50, time...
What would be the option price if S0=49, risk-free rate=5%, σ=20%, Strike Price = 50, time to maturity=20 weeks. d1=1.542 and d2=0.648
A stock is currently trading at 50. The risk free interest rate is 4%. In one...
A stock is currently trading at 50. The risk free interest rate is 4%. In one year, analysts believe that share price will either be 58 or 36. a) Using both the Delta (Binomial) method and the Risk Neutral method, find the value of a 1-year Put option with strike price 42. b) What is the intrinsic value of the option? The time value? c) What would the value of a Call with the same strike price and maturity be?
1. Calculate the value of the D1 parameter for a call option in the Black-Scholes model,...
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...
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
The current price of a stock is $50 and the annual risk-free rate is 6 percent....
The current price of a stock is $50 and the annual risk-free rate is 6 percent. A call option with an exercise price of $55 and one year until expiration has a current value of $7.20. What is the value of a put option (to the nearest dollar) written on the stock with the same exercise price and expiration date as the call option? (Use put-call parity)
The valuation of a European call option on a stock that does not pay dividends is...
The valuation of a European call option on a stock that does not pay dividends is given by c = S*N(d1) - X*e(-rT)*N(d2) Given a strike price of 75, a spot price of 70, volatility of 25%, time to expiry of 0.33 years, a risk free rate of 8%, N(d1) = 0.411078 and N(d2) = 0.356293, what is the price of a call option? *2.9317 *2.7498 *2.5412 *3.0241
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...
A stock is currently selling for $39 a share. The risk-free rate is 2.5 percent and...
A stock is currently selling for $39 a share. The risk-free rate is 2.5 percent and the standard deviation is 26 percent. What is the value of d1 of a 9-month call option with a strike price of $40?
Use the Black-Scholes option pricing model for the following problem. Given: stock price=$60, exercise price=$50, time...
Use the Black-Scholes option pricing model for the following problem. Given: stock price=$60, exercise price=$50, time to expiration=3 months, standard deviation=35% per year, and annual interest rate=6%.No dividends will be paid before option expires. What are the N(d1), N(d2), and the value of the call option, respectively?
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
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT