Question

Calculate the implied volatility using the following information: stock price 80.00 call option price 11.38 option...

Calculate the implied volatility using the following information:

stock price 80.00

call option price 11.38

option time to expiration 2 months

option strike price 70.00

risk free rate 4%

the choices are A. 25% B.30% C.35% D.20% how to arrive at the answer using regular 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
1:Consider a European call option on a stock with current price $100 and volatility 25%. The...
1:Consider a European call option on a stock with current price $100 and volatility 25%. The stock pays a $1 dividend in 1 month. Assume that the strike price is $100 and the time to expiration is 3 months. The risk free rate is 5%. Calculate the price of the the call option. 2: Consider a European call option with strike price 100, time to expiration of 3 months. Assume the risk free rate is 5% compounded continuously. If the...
3) For a call option on a non dividend paying stock the stock price is $30,...
3) For a call option on a non dividend paying stock the stock price is $30, the strike price is $20, the risk free rate is 6% per annum, the volatility is 20% per annum    and the time to maturity is 3 months. Use the Binomial model to find:             a) The price of the call option? Please show work
3) For a call option on a non dividend paying stock the stock price is $30,...
3) For a call option on a non dividend paying stock the stock price is $30, the strike price is $20, the risk free rate is 6% per annum, the volatility is 20% per annum    and the time to maturity is 3 months. Use the Binomial model to find:             a) The price of the call option? Can you show the binomial model please
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...
. Assume the following for a stock and a call option written on the stock. EXERCISE...
. Assume the following for a stock and a call option written on the stock. EXERCISE PRICE = $30 CURRENT STOCK PRICE = $30 Standard Deviation = .35 (square it to find variance) TIME TO EXPIRATION = 3 MONTHS = .25 RISK FREE RATE = 4% Use the Black Scholes procedure to determine the value of the call option.   Use the Black Scholes procedure to determine the value of the Put option
A bank has written a call option on one stock and a put option on another...
A bank has written a call option on one stock and a put option on another stock. For the first option the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to maturity is nine months. For the second option the stock price is 20, the strike price is 19, the volatility is 25% per annum, and the time to maturity is one year. Neither stock pays a dividend, the risk-free...
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
A European call option and put option on a stock both have a strike price of...
A European call option and put option on a stock both have a strike price of $20 and an expiration date in three months. Both sell for $2. The risk-free interest rate is 5% per annum, the current stock price is $25, and a $1 dividend is expected in one month. Identify the arbitrage opportunity open to a trader.
A bank has written a call option on one stock and a put option on another...
A bank has written a call option on one stock and a put option on another stock. For the first option the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to maturity is nine months. For the second option the stock price is 20, the strike price is 19, the volatility is 25% per annum, and the time to maturity is one year. Neither stock pays a dividend, the risk-free...
Consider a call option on a stock, the stock price is $29, the strike price is...
Consider a call option on a stock, the stock price is $29, the strike price is $30, the continuously risk-free interest rate is 5% per annum, the volatility is 20% per annum and the time to maturity is 0.25. (i) What is the price of the option? (6 points) (ii) What is the price of the option if it is a put? (6 points) (iii) What is the price of the call option if a dividend of $2 is expected...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT