Question

. 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

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
Use the Black-Scholes formula to value the following options: a. A Call option written on a...
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...
. 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.
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...
7. Use the Black -Scholes formula to find the value of a call option on the...
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
1.         What is the value of the following call option according to the Black Scholes Option...
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
Assume you are given the following information for a European call option written on the common...
Assume you are given the following information for a European call option written on the common stock of a major corporation: P = $18, X = $18, t = 4 months, risk free interest rate = 4.6%, variance of the rate of return on the stock = 0.25. Compute the value of this option using the Black-Scholes Option Pricing Model.
•A call option has an exercise price of $50. What is the value of the call...
•A call option has an exercise price of $50. What is the value of the call option at expiration if the stock price is $35? $75? •A put option has an exercise price of $30. What is the value of the put option at expiration if the stock price is $25? $40?
Assume the following inputs for a call option: (1) current stock price is $34, (2) strike...
Assume the following inputs for a call option: (1) current stock price is $34, (2) strike price is $37, (3) time to expiration is 5 months, (4) annualized risk-free rate is 6%, and (5) variance of stock return is 0.25. The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the question below. Open spreadsheet Use the Black-Scholes model to find the price for the call option. Do...
Use the Black-Scholes model to find the price for a call option with the following inputs:...
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 :)
Using the Black-Scholes option valuation, calculate the value of a put option under the following parameters:...
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...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT