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In: Finance
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%.
Solutions
jeff jeffy answered 1 year agoRelated Solutions
according to the black scholes merton model, if a call option has a delta of 0.8,...
according to the black scholes merton model, if a call option
has a delta of 0.8, then what is the delta of the put option
written on the same underlying asset with the same strike and
maturity?
1. 0.8
2.. 0.2
3. -0.8
4. -0.2
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 ___________?...
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 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.
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 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%.
. (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...
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%?
Use the Black-Scholes model to find the value for a European put option that has an...
Use the Black-Scholes model to find the value for a European put
option that has an exercise price of $62.00 and four months to
expiration. The underlying stock is selling for $63.50 currently
and pays an annual dividend of $2.07. The standard deviation of the
stock’s returns is 0.24 and risk-free interest rate is 5.5%. (Round
intermediary calculations to 4 decimal places. Round your final
answer to 2 decimal places.)
Use the Black-Scholes model to find the value for a European put option that has an...
Use the Black-Scholes model to find the value for a European put
option that has an exercise price of $62.00 and four months to
expiration. The underlying stock is selling for $64.50 currently
and pays an annual dividend of $1.62. The standard deviation of the
stock’s returns is 0.16 and risk-free interest rate is 4.0%.
(Round intermediary calculations to 4 decimal places. Round
your final answer to 2 decimal places.)
Put value
$
???
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