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Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 56%...

Use the Black-Scholes formula for the following stock:


Time to expiration	6 months
Standard deviation	56% per year
Exercise price	$55
Stock price	$55
Annual interest rate	6%
Dividend	0

Recalculate the value of the call with the following changes:


a.	Time to expiration	3 months
b.	Standard deviation	30% per year
c.	Exercise price	$63
d.	Stock price	$63
e.	Interest rate	9%

Calculate each scenario independently. (Round your answers to 2 decimal places.)

Value of the Call Option

a.=

b.=

c.=

d.=

e.=

Expert Solution

1.
6.4962

2.
5.4355

3.
6.3635

4.
14.7216

5.
9.7060

jeff jeffy answered 8 months ago

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