Question
In: Finance
Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 58%...
Use the Black-Scholes formula for the following stock:
| Time to expiration | 6 months | |
| Standard deviation | 58% per year | |
| Exercise price | $56 | |
| Stock price | $55 | |
| Annual interest rate | 7% | |
| Dividend | 0 | |
Calculate the value of a call option. (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Use the Black-Scholes formula for the following stock:
| Time to expiration | 6 months | |
| Standard deviation | 48% per year | |
| Exercise price | $49 | |
| Stock price | $47 | |
| Annual interest rate | 7% | |
| Dividend | 0 | |
Calculate the value of a put option. (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Solutions
jeff jeffy answered 1 year agoRelated Solutions
Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 41%...
Use the Black-Scholes formula for the following stock:
Time to expiration
6 months
Standard deviation
41% per year
Exercise price
$42
Stock price
$42
Annual interest rate
7%
Dividend
0
Recalculate the value of the call with the following
changes:
a.
Time to expiration
3 months
b.
Standard deviation
20% per year
c.
Exercise price
$50
d.
Stock price
$50
e.
Interest rate
9%
Calculate each scenario independently. (Round your
answers to 2 decimal places.)
C rises or falls for...
Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 50%...
Use the Black-Scholes formula for the following stock:
Time to expiration
6 months
Standard deviation
50% per year
Exercise price
$50
Stock price
$50
Annual interest rate
3%
Dividend
0
Calculate the value of a put option
Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 60%...
Use the Black-Scholes formula for the following stock: Time to
expiration 6 months Standard deviation 60% per year Exercise price
$57 Stock price $56 Annual interest rate 3% Dividend 0 Calculate
the value of a call option
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.
11. Black-Scholes. a) Write down the Black-Scholes put option formula for a stock that has a...
11. Black-Scholes. a) Write down the Black-Scholes put option
formula for a stock that has a continuous dividend yield. Be sure
to elaborate on d1 and d2. b) Derive an expression for option Delta
c) Derive Gamma
Black-Scholes. a) Write down the Black-Scholes put option formula for a stock that has a continuous...
Black-Scholes.
a) Write down the Black-Scholes put option formula for a stock
that has a continuous dividend yield. Be sure to elaborate on d1
and d2.
b) Derive an expression for option Delta
c) Derive Gamma
Problem 21-12 Black–Scholes model Use the Black–Scholes formula to value the following options: a. A call...
Problem 21-12 Black–Scholes model
Use the Black–Scholes formula to value the following
options:
a. A call option written on a stock selling for
$68 per share with a $68 exercise price. The stock's standard
deviation is 6% per month. The option matures in three months. The
risk-free interest rate is 1.75% per month.
b. 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
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