In: Finance
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.=