Question

Answer the following question by working the BSOPM by hand: –Assume C L W Inc. does...

Answer the following question by working the BSOPM by hand:

–Assume

  • C L W Inc. does not pay dividends.
  • The standard deviation of C L W is 45% per year.
  • The risk-free rate is 5%.
  • C L W stock has a current price of $24.

–Using the Black-Scholes formula, what is the price for a ½ year American call option on C L W with a strike price of $30? (Use the normsdist function in excel to determine d1)

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
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...
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            $
Today’s price of Microsoft (MSFT) is $100 per share. MSFT does not pay dividends. The c.c....
Today’s price of Microsoft (MSFT) is $100 per share. MSFT does not pay dividends. The c.c. risk-free interest rate is zero percent. Assume there is no arbitrage and the Black-Scholes model assumptions hold. The market price of a European call option on MSFT with a strike of $100 and a maturity of one year is $1.99. What is the implied volatility of the call option?
Today’s price of Microsoft (MSFT) is $100 per share. MSFT does not pay dividends. The c.c....
Today’s price of Microsoft (MSFT) is $100 per share. MSFT does not pay dividends. The c.c. risk-free interest rate is zero percent. Assume there is no arbitrage and the Black-Scholes model assumptions hold. The market price of a European call option on MSFT with a strike of $100 and a maturity of one year is $1.99. What is the implied volatility of the call option?
Use the Black-Scholes model to calculate the theoretical value of a DBA December 45 call option....
Use the Black-Scholes model to calculate the theoretical value of a DBA December 45 call option. Assume that the risk free rate of return is 6 percent, the stock has a variance of 36 percent, there are 91 days until expiration of the contract, and DBA stock is currently selling at $50 in the market. [Hint: Use Excel's NORMSDIST() function to find N(d1) and N(d2)]
Use the Black-Scholes formula to find the value of a call option based on the following...
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
Consider a call option with a strike price (X) of $100 that expires in six months...
Consider a call option with a strike price (X) of $100 that expires in six months (t=0.5). If the current stock price (S) is $100, the underlying’s stock’s volatility (σ) of the stock is 0.2, and the risk-free rate (rrf) is 5% what is N(d1)? The Excel NORMSDIST(z) function will be helpful for this problem.
Current Price of Stock = 50 Divided Yield = 2% Strike Price = 55 Time to...
Current Price of Stock = 50 Divided Yield = 2% Strike Price = 55 Time to Expiry = 6 months Volatility = 35% Risk-Free rate =4% Using Black Scholes Model: 1. What is the Value of American Call option? 2. What is the Value of American Put Option? solve it in excel.
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 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...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT