Question

You are about to calculate the value of a call option on shares. You have the following information. The share price is 49 SEK, The exercise price is 50 SEK. The risk free interest rate is 3% and the time to maturity is 3 month. d1=0.7 and d2=0.5.

a. What is N(d1) and N(d2)?

b. What is the value of the call option?

c. With the same information.

d. What is the value of the put option?

Answer 1

1	B	C
2	Black Scholes Model:
3	Stock	49
4	Strike	50
5	Volatility
6	Risk Free Rate	3%
7	Term	0.2500
8	Dividend Yield	0%
9
10	Calculation of:
11	d1	0.7000
12	d2	0.5000
13
14	N(d1)	0.7580
15	N(d2)	0.6915
16
17	Call Option	2.8290
18	Put	3.4554

1	B	C
2	Black Scholes Model:
3	Stock	49
4	Strike	50
5	Volatility
6	Risk Free Rate	0.03
7	Term	=3/12
8	Dividend Yield	0
9
10	Calculation of:
11	d1	0.7
12	d2	0.5
13
14	N(d1)	=NORMSDIST(C11)
15	N(d2)	=NORMSDIST(C12)
16
17	Call Option	=C3*NORMSDIST(C11)-C4*EXP(-C6*C7)*NORMSDIST(C12)
18	Put	=C4*EXP(-C6*C7)*NORMSDIST(-C12)-C3*NORMSDIST(-C11)