Question
In: Finance
Use the Black-Scholes model to price a call with the following characteristics: Stock price =$28...
Use the Black-Scholes model to price a call with the following characteristics:
Stock price =$28
Strike price =$40
Time to expiration =6 months
Stock price variance =0.65
Risk-free interest rate =0.06
What does put-call parity imply the price of the corresponding put will be?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
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 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 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 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...
. (20 pts) Black-Scholes-Merton Model: The following information applies for a call on the stock of...
. (20 pts) Black-Scholes-Merton Model:
The following information applies for a call on the stock of a
certain company.
S=$68,
X=$70, option life is 47 days,
risk-free rate (annualized, discrete) = 4.0%, and the stock’s
return annualized standard deviation = 36%. This stock pays no
dividends.
What value does the Black-Scholes model estimate for a
European-style call and a European-style put on this stock?
NOTE: Due to the time-constraints and with a take-at-home exam,
YOU SHOULD USE the Black-Scholes-Merton
Option...
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?
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 Black/Scholes formula to calculate the theoretical price of a call given the following info: &nb
Use Black/Scholes formula to calculate the theoretical price of
a call given the following
info:
Stock Px –
66
Exercise Px – 60
Variance – 0.4839 Std Dev ?
Int Rate – 5%
Time remaining – 219 days
ln s/k
(r + var/2) x sqrt (t)
Std x (sqrt t)
d1 =
d2 =
K x e –rt
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.
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