Use black scholes model 9a. Calculate the value of a 6-month binary call option on the...

Use black scholes model

9a. Calculate the value of a 6-month binary call option on the asset that has a strike price of 75. b. Calculate the value of a 6-month binary put option on the asset that has a strike price of 75.

assume the current spot price of the underlying assets is 77.50, its cash yield is 0.45%, its standard deviation is 0.725, and the risk free interest rates is 2.0%.

Solutions

Expert Solution

ANSWER IN THE IMAGE((YELLOW HIGHLIGHTED). FEEL FREE TO ASK ANY DOUBTS. THUMBS UP PLEASE.

1. CALL

2. PUT

jeff jeffy answered 1 year ago

Next > < Previous

Related Solutions

Using Black Scholes Model: 12a. Calculate the value of a 9-month call option on platinum forward...

Using Black Scholes Model: 12a. Calculate the value of a 9-month call option on platinum forward if the 9-month forward price is 718.4 per ounce, the strike price is 725 per ounce, the standard deviation of returns on platinum is 0.0795, and the risk free interest rate is 1.75%. b. Calculate the value of a 9-month put option on platinum forward assuming the same characteristics as in part a.

Using the black scholes model 8a. Calculate the value of a 6-month share or nothing call...

Using the black scholes model 8a. Calculate the value of a 6-month share or nothing call option on the asset that has a strike price of 80. b. Calculate the value of a 6-month share or nothing put option on the asset that has a strike price of 80. assume the current spot price of the underlying assets is 77.50, its cash yield is 0.45%, its standard deviation is 0.725, and the risk free interest rates is 2.0%.

Using the Black/Scholes Option Pricing Model, calculate the value of the call option given: S= 74; ...

Using the Black/Scholes Option Pricing Model, calculate the value of the call option given: S= 74; X=70; T=6 months; =.50; Rf =10% What is the intrinsic value of the call? What stock price is necessary to break-even? If volatility were to decrease, the value of the call would ___________? If the exercise price would increase, the value of the call would ___________? If the time to maturity were 3-months, the value of the call would ___________?...

How do I use the black Scholes model to find the value of a call option...

How do I use the black Scholes model to find the value of a call option and the value of a put option for each stock? I am doing two companies, apple and coca-cola.

Using the Black-Scholes-Merton model, calculate the value of an European call option under the following parameters:...

Using the Black-Scholes-Merton model, calculate the value of an European call option under the following parameters: The underlying stock's current market price is $40; the exercise price is $35; the time to expiry is 6 months; the standard deviation is 0.31557; and the risk free rate of return is 8%.

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 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)

Subjects