Question

You are evaluating a European call option on a no-dividend paying stock that is currently priced $42.05. The strike price for the option is $45, the risk-free rate is3% per year, the volatility is 18% per year, and the time to maturity is eleven months. Use the Black-Scholes model to determine the price of the option.

Answer #1

Using Black Scholes model, we get the value of call option = $2.16 as shown in the figure above.

What is the price of a European call option on a
non-dividend-paying stock when
the stock price is $52, the strike price is $50, the risk-free
interest rate is 12% per annum, the
volatility is 30% per annum, and the time to maturity is three
months? (Hint: Remember Black-
Sholes-Merton Model. Please refer to the N(d) tables provided to
you to pick the N values you
need)

Price a European call option on non-dividend paying stock by
using a binomial tree. Stock price is €50, volatility is 26%
(p.a.), the risk-free interest rate is 5% (p.a. continuously
compounded), strike is € 55, and time to expiry is 6 months. How
large is the difference between the Black-Scholes price and the
price given by the binomial tree?

Price a European call option on non-dividend paying stock by
using a binomial tree. Stock price is €50, volatility is 26%
(p.a.), the risk-free interest rate is 5% (p.a. continuously
compounded), strike is € 55, and time to expiry is 6 months. How
large is the difference between the Black-Scholes price and the
price given by the binomial tree?

What is the price of a European put option on a
non-dividend-paying stock when the stock price is $100, the strike
price is $100, the risk-free interest rate is 8% per annum, the
volatility is 25% per annum, and the time to maturity is 1 month?
(Use the Black-Scholes formula.)

q 19
A non-dividend paying stock is currently trading at $60 and its
volatility is 30% per annum. Risk free rate is 12% per annum.
Consider a European put option with a strike price of $59 that will
expire in three months. What is the price of this put option based
on Black-Scholes model? (Enter your answer in two decimals without
$ sign)

Consider a six-month European call option on a
non-dividend-paying stock. The stock price is $30, the strike price
is $29, and the continuously compounded risk-free interest rate is
6% per annum. The volatility of the stock price is 20% per annum.
What is price of the call option according to the
Black-Schole-Merton model? Please provide you answer in the unit of
dollar, to the nearest cent, but without the dollar sign (for
example, if your answer is $1.02, write 1.02).

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, 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

Consider an option on a non-dividend-paying stock when the stock
price is $30, the exercise price is $29, the risk-free interest
rate is 5% per annum, the volatility is 25% per annum, and the time
to maturity is four months. Assume that the stock is due to go
ex-dividend in 1.5 months. The expected dividend is 50 cents. Using
the Black-Scholes-Merton model, what is the price of the option if
it is a European put?

Consider a European call option and a European put option on a
non dividend-paying stock. The price of the stock is $100 and the
strike price of both the call and the put is $104, set to expire in
1 year. Given that the price of the European call option is $9.47
and the risk-free rate is 5%, what is the price of the European put
option via put-call parity?

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