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Use Black-scholes formula to calculate: Assume S = $62.50, σ = 0.20, r = 0.03, div...
Use Black-scholes formula to calculate:
Assume S = $62.50, σ = 0.20, r = 0.03, div = 0.0, on a $60 strike call and 81 days until expiration. Given a delta = 0.7092, gamma = 0.0582, and theta = -0.0158, what is the approximate call price, using the delta, gamma, theta approach, after 1 day, assuming a $0.50 rise in the stock price? Show details.
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jeff jeffy answered 2 days agoRelated Solutions
(Black-Scholes) Assume S = $22.00, σ = 0.30, r = 0.05 p.a. continuously compounded, the stock...
(Black-Scholes)
Assume S = $22.00, σ = 0.30, r = 0.05 p.a. continuously
compounded, the stock pays a 1.0% p.a. continuous dividend and the
option expires in a month.
(a) What is the price of a $20 strike call? (Leave 2 d.p. for
the answer)
(b) What is the delta? (Leave 3 sig. fig. for the answer)
(c) If the stock price changes to $22.10 immediately, what is
the approximate change of the call price based on delta? (Leave 3...
Use Black/Scholes formula to calculate the theoretical price of a call given the following info: &nb
Use Black/Scholes formula to calculate the theoretical price of
a call given the following
info:
Stock Px –
66
Exercise Px – 60
Variance – 0.4839 Std Dev ?
Int Rate – 5%
Time remaining – 219 days
ln s/k
(r + var/2) x sqrt (t)
Std x (sqrt t)
d1 =
d2 =
K x e –rt
11. Black-Scholes. a) Write down the Black-Scholes put option formula for a stock that has a...
11. Black-Scholes. a) Write down the Black-Scholes put option
formula for a stock that has a continuous dividend yield. Be sure
to elaborate on d1 and d2. b) Derive an expression for option Delta
c) Derive Gamma
Black-Scholes. a) Write down the Black-Scholes put option formula for a stock that has a continuous...
Black-Scholes.
a) Write down the Black-Scholes put option formula for a stock
that has a continuous dividend yield. Be sure to elaborate on d1
and d2.
b) Derive an expression for option Delta
c) Derive Gamma
Please use sentences and a simple example to explain the Black Scholes formula for options.
Please use sentences and a simple example to explain the Black
Scholes formula for options.
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. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
36.00
Exercise price
$
45.00
Interest rate
6.00
%
Dividend yield
5.00
%
Time to expiration
0.5833
Standard deviation of stock’s returns
49.00
%
Call value
$
?
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. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
53.00
Exercise price
$
51.00
Interest rate
5.00
%
Dividend yield
3.00
%
Time to expiration
0.2500
Standard deviation of stock’s returns
38.00
%
Call value
$
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. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
39.00
Exercise price
$
31.00
Interest rate
6.00
%
Dividend yield
1.00
%
Time to expiration
0.9167
Standard deviation of stock’s returns
26.00
%
Call value
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. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
38.00
Exercise price
$
40.00
Interest rate
3.00
%
Dividend yield
5.00
%
Time to expiration
0.7500
Standard deviation of stock’s returns
40.00
%
Call value
$
Use the Black–Scholes formula to value the following option: A call option written on a stock...
Use the Black–Scholes formula to value the following
option: A call option written on
a stock selling for $60 per
share with a $60 exercise price. The stock's standard
deviation is 6% per month. The
option matures in three months. The risk-free
interest rate is 1% per
month.
What is the value of a put option written on the same stock at the
same
time,
with the same exercise price and expiration date.
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