Question
In: Finance
Find the Black-Scholes price of a six-month call option written on €100,000 with a strike price...
Find the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.0000/€. The current exchange rate is $1.125/€. The U.S. risk-free rate is 2 percent over the period and the euro-zone risk-free rate is 1 percent. The volatility of the underlying asset is 10.5 percent.
$0.1309/€
$0.1682/€
$0.1452/€
$0.0016/€
Solutions
Expert Solution
Strike Price = $1.00/Euro
Stock Price = $1.125/Euro
Risk Free Rate in $ = 2%
Risk Free Rate in Euro = 1%
Volatility = 10.5%
Time to Maturity = 6 Months i.e. 0.5 Years
Net Risk Free Rate = 2% - 1% = 1%
Value of Call Option would be $0.13 / Euro. Thus Option (a) i.e. $13.09 / Euro is correct.
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 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 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 formula to find the value of a call option based on the following...
Use the Black-Scholes formula to find the value of a call option
based on the following inputs. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
36.00
Exercise price
$
45.00
Interest rate
6.00
%
Dividend yield
5.00
%
Time to expiration
0.5833
Standard deviation of stock’s returns
49.00
%
Call value
$
?
Use the Black-Scholes formula to find the value of a call option based on the following...
Use the Black-Scholes formula to find the value of a call option
based on the following inputs. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
53.00
Exercise price
$
51.00
Interest rate
5.00
%
Dividend yield
3.00
%
Time to expiration
0.2500
Standard deviation of stock’s returns
38.00
%
Call value
$
Use the Black-Scholes formula to find the value of a call option based on the following...
Use the Black-Scholes formula to find the value of a call option
based on the following inputs. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
39.00
Exercise price
$
31.00
Interest rate
6.00
%
Dividend yield
1.00
%
Time to expiration
0.9167
Standard deviation of stock’s returns
26.00
%
Call value
Use the Black-Scholes formula to find the value of a call option based on the following...
Use the Black-Scholes formula to find the value of a call option
based on the following inputs. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
38.00
Exercise price
$
40.00
Interest rate
3.00
%
Dividend yield
5.00
%
Time to expiration
0.7500
Standard deviation of stock’s returns
40.00
%
Call value
$
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...
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- 2. Show the trace of the RTL code for Booth's algorithm for X = 0111 and...
- Write an Java/C program code to perform known-plaintext attack on Permutation Cipher. This program can be...
- what kinds of patterns do you ovserve in the last few days of future contracts? what...
- Write a mini essay on the following: (a) “Culture defines the rules of the game.” (Robbins...
- Using draw.io diagram tool, design a database schema for an application that tracks and manages students’...
- Question 1: Write a Java program that prompts the user to input a file name (existing...
- In C++ Write a function that took in SIZE and array [size] and counted the number...
ADVERTISEMENT