Please do in excel showing all the work 1)The exercise price on one of Flanagan Company's...

Please do in excel showing all the work

1)The exercise price on one of Flanagan Company's call options is $15, its exercise value is $22, and its time value is $5. What are the option's market value and the price of the stock?

2)Assume that you have been given the following information on Purcell Corporation's call options: Current stock price = $15 Time to maturity of option = 6 months Variance of stock return = 0.12 dl = 0.24495 d2 = 0.00000 Strike price of option = $15 Risk-free rate = 6% N(dl ) = 0.59675 N(d2 ) = 0.50000 According to the Black-Scholes option pricing model, what is the option's value?

3)The current price of a stock is $33, and the annual risk-free rate is 6%. A call option with a strike price of $32 and with 1 year until expiration has a current value of $6.56. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option?

Solutions

Expert Solution

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -

Hope this will help, please do comment if you need any further explanation. Your feedback would be appreciated.

jeff jeffy answered 3 months ago

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