Question
In: Finance
Use the Black-Scholes formula to the value of a call option given the following information: T=...
Use the Black-Scholes formula to the value of a call option given the following information:
T= 6 months
standard deviation=25%
Exercise price= 50
Stock price=50
Interest rate= 2%
- 3.75
- 2.87
- 3.11
- 3.63
Use the information in the previous question to find the value of a six month put option on the same stock with an exercise price of 50. Round intermediate steps to four decimals and round your final answer to two decimals.
Solutions
jeff jeffy answered 1 month agoRelated Solutions
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.
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
$
Problem 21-12 Black–Scholes model Use the Black–Scholes formula to value the following options: a. A call...
Problem 21-12 Black–Scholes model
Use the Black–Scholes formula to value the following
options:
a. A call option written on a stock selling for
$68 per share with a $68 exercise price. The stock's standard
deviation is 6% per month. The option matures in three months. The
risk-free interest rate is 1.75% per month.
b. A put option written on the same stock at
the same time, with the same exercise price and expiration
date.
What is the value of the following call option according to the Black Scholes Option Pricing...
What is the value of the following call option according to the
Black Scholes Option Pricing Model? What is the value of the put
options?
Stock Price = $55.00
Strike Price = $50.00
Time to Expiration = 3 Months = 0.25 years.
Risk-Free Rate = 3.0%.
Stock Return Standard Deviation = 0.65.
SHOW ALL WORK IN EXCEL
What is the value of the following call option according to the Black Scholes Option Pricing...
What is the value of the following call option according to the
Black Scholes Option Pricing Model? What is the value of the put
options?
Stock Price = $37.63
Strike Price = $35.00
Time to Expiration = 3 Months = 0.25 years.
Risk-Free Rate = 4.0%.
Stock Return Standard Deviation = 0.65
What is the value of the following call option according to the Black Scholes Option Pricing...
What is the value of the following call option according to the
Black Scholes Option Pricing Model? What is the value of the put
options? Stock Price = $37.63 Strike Price = $35.00 Time to
Expiration = 3 Months = 0.25 years. Risk-Free Rate = 4.0%. Stock
Return Standard Deviation = 0.65.
Black-Scholes Model Use the Black-Scholes model to find the price for a call option with the...
Black-Scholes
Model
Use the Black-Scholes
model to find the price for a call option with the following
inputs: (1) current stock price is $28, (2) strike price is $37,
(3) time to expiration is 2 months, (4) annualized risk-free rate
is 5%, and (5) variance of stock return is 0.36. Do not round
intermediate calculations. Round your answer to the nearest
cent.
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