Question
In: Finance
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
$54
and an expiration date
threethree
months in the future. The volatility of the stock's returns is
37%,
and the risk-free rate is
6%.
What is the Black and Scholes value of this option?
Solutions
jeff jeffy answered 7 months agoRelated Solutions
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
$54
and an expiration date
three
months in the future. The volatility of the stock's returns
is
37%
and the risk-free rate is
6%.
What is the Black and Scholes value of this option?
A stock trades for $47 per share. A call option on that stock has a strike...
A stock trades for $47 per share. A call option on that stock
has a strike price of $53 and an expiration date six months in the
future. The volatility of the stock's returns is 32%, and the
risk-free rate is 5%. What is the Black and Scholes value of this
option? The Black and Scholes value of this call option is $
________. (Round to the nearest cent.)
A stock trades for $43 per share. A call option on that stock has a strike...
A stock trades for $43 per share. A call option on that stock
has a strike price of $51 and an expiration date six months in the
future. The volatility of the stock's returns is 48%, and the
risk-free rate is 66%. What is the Black and Scholes value of
this option?
A stock trades for $47 per share. A call option on that stock has a strike...
A stock trades for $47 per share. A call option on that stock
has a strike price of $51 and an expiration date three months in
the future. The volatility of the stock's returns is 35%, and the
risk-free rate is 2%. What is the Black and Scholes value of this
option?
A stock trades for $42 per share. A call option on that stock has a strike...
A stock trades for $42 per share. A call option on that stock
has a strike price of $54 and an expiration date nine months in the
future. The volatility of the stock's returns is 33%, and the
risk-free rate is 2%. What is the Black and Scholes value of this
option?
A call option written on CBA has a strike price of $78 and trades at $3.42....
A call option written on CBA has a strike price of $78 and
trades at $3.42. CBA share price is $81. The split up of option
value into intrinsic value and time value is:
$3.00 intrinsic value and $0.42 time value
-$2.00 intrinsic value and $5.42 time value
$2.00 intrinsic value and $1.42 time value
zero intrinsic value and $3.42 time value
A call option written on CBA has a strike price of $78 and trades at $3.42....
A call option written on CBA has a strike price of $78 and
trades at $3.42. CBA share price is $81. The split up of option
value into intrinsic value and time value is:
a)$3.00 intrinsic value and $0.42 time value
b)-$2.00 intrinsic value and $5.42 time value
c)$2.00 intrinsic value and $1.42 time value
d)zero intrinsic value and $3.42 time value
Jillian owns a call option on WAN stock with a strike price of $20 a share....
Jillian owns a call option on WAN stock with a strike price of
$20 a share. Currently, WAN is selling for $24.50 a share. Jillian
would like to profit on this option but is not permitted to
exercise the option for another two weeks. She believes the stock
will decline in value before the two weeks is up. What should she
do?
Multiple Choice
Sell her option today
Place an order to exercise her option on its expiration date
Purchase...
Stock trades at $50. An at the money call option trades at $4. The maturity of...
Stock trades at $50. An at the money call option trades at $4.
The maturity of the option is two years. The present value of the
strike price over the two years is $45. The stock pays a dividend
of 3 dollars in one year and no other dividends prior to
expiration. The present value of the dividend is $2. The price of
the European call option is $5. The price of the European put is
$1.0. Construct a strategy...
Sally has a call option on one share of Ultra with a strike price of $40...
Sally has a call option on one share of Ultra with a
strike price of $40 and a call option on one share of Boone with a
strike price of $25. George has a call option on a portfolio that
has one share of Ultra and one share of Boone. The strike price on
George's call option is $65. These options are all expiring
today.
a. If Ultra is selling for $50 and Boone for $15, what
is the value...
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