Question
In: Finance
Use the Black-Scholes option pricing model to price a one-year at the money call option on...
Use the Black-Scholes option pricing model to price a one-year at the money call option on a stock that is trading at $50 per share, Rf is 5%, annual volatility is 25%. REMEMBER TO USE THE NORMAL PROBABILITY DOCUMENT posted on moodle. You are not allowed to use Excel, you can only use your financial calculator. Show all your work, including intermediate steps. Simply writing the final answer will not get credit, even if the answer is correct.
a) What is d1?
b) What is d2?
c) Using the NORMAL DISTRIBUTION TABLE posted on moodle (not excel or probabilities from anywhere else), what is N(d1) and N(d2)? Don't interpolate, just use the closest one.
d) What is the call price?
Solutions
jeff jeffy answered 2 years agoRelated Solutions
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.
Use the Black-Scholes model to find the price for a call option with the following inputs:...
Use the Black-Scholes model to find the price for a call option
with the following inputs: (1) current stock price is $30, (2)
strike price is $36, (3) time to expiration is 6 months, (4)
annualized risk-free rate is 7%, and (5) variance of stock return
is 0.16. Do not round intermediate calculations. Round your answer
to the nearest cent.
3. Use the Black-Scholes model to find the price for a call option with the following...
3. Use the Black-Scholes model to find the price for a call
option with the following inputs: 1) current stock price is $30, 2)
Strike price is 32, 3) Time expiration is 4 months, 4) annualized
risk-free rate is 5%, and 5) standard deviation of stock return is
0.25.
Use the Black-Scholes model to estimate the price of a call option. Here are the input....
Use the Black-Scholes model to estimate the price of a call
option.
Here are the input. S = £40, E = £35, t = 6 month, Rf = 8% =
0.08, σ = std = 0.31557.
b) What is the price of a put option?
c) ABB call and put options with an exercise price of £17 expire
in 4 months and sell for £2.07 and £2.03, respectively. If the
equity is currently priced at £17.03, what is the annual...
Use the Black-Scholes model to find the price for a call option with the following inputs:...
Use the Black-Scholes model to find
the price for a call option with the following inputs: (1) current
stock price is $45, (2) exercise price is
$50, (3) time to expiration is 3
months, (4) annualized risk-free rate is 3%, and
(5) variance of stock return is 0.50.
AND based on the information above,
find the value of a put with a $50 exercise price.
(SHOW CALCULATIONS PLEASE)
Use the Black-Scholes Option Pricing Model for the following option. Stock price S0 = $80; Time...
Use the Black-Scholes Option Pricing Model for the following
option.
Stock price S0 = $80;
Time to Maturity T = 1 year;
Risk free rate r = 10% annually;
Standard deviation STD = 20% per year.
No dividends will be paid before option expires.
Find the Black-Scholes value of a call option with an exercise
price of $90 on the above stock?
Using the Black-Scholes options pricing model. Calculate the call option premium on a stock with an...
Using the Black-Scholes options pricing model. Calculate the
call option premium on a stock with an exercise price of $105,
which expires in 90 days. The stock is currently trading for $100
and the monthly standard deviation on the stock return is 3%. The
annual risk-free rate is 4% per year.
Using the Black-Scholes option pricing model, find the premium for a call on Disney. The stock...
Using the Black-Scholes option pricing model, find the premium
for a call on Disney. The stock currently trades for $138.58. The
expiration is in 30 days. The strike price is $144. The risk free
rate is 2% and the volatility (standard deviation) of the stock is
.2
Using the Black-Scholes option pricing model, what is the price of a $1,310 2020-04-24 European call...
Using the Black-Scholes option pricing model, what is the price
of a $1,310 2020-04-24 European call option for Alphabet Inc.
(GOOG) stock purchased on 2020-03-16, assuming that the option
implied volatility is 53%, the stock price is $1,084, and the
risk-free rate is 1.5%?
Black-Scholes option pricing Suppose the stock price is 50 and we need to price a call...
Black-Scholes option pricing
Suppose the stock
price is 50 and we need to price a call option with a strike of 55
maturing in 2 months. The stock is not expected to pay dividends.
The continuously compounded risk-free rate is 3%/year, the mean
return on the stock is 7%/year, and the standard deviation of the
stock return is 30%/year.
What is the N(d1) and N(d2)?
What is the price of the call option?
What is the price of a put...
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