Question
In: Finance
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 continuously compounded rate of interest?
Solutions
jeff jeffy answered 1 year 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 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...
How do I use the black Scholes model to find the value of a call option...
How do I use the black Scholes model to find the value of a call
option and the value of a put option for each stock? I am doing two
companies, apple and coca-cola.
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?
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%.
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?
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
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- What experience have you had with Organization Development or with Change Management? Describe the organization, the...
- 1. Renfro Rentals has issued bonds that have a 12% coupon rate, payable semiannually. The bonds...
- Given an array of positive integers a, your task is to calculate the sum of every...
- Define “culture.” Software is defined by the Merriam-Webster Dictionary as "the programs that run on a...
- In humans, hypotrichosis (sparse body hair) is a rare autosomal recessive condition. Let h = hypotrichosis...
- Increase all of the listing prices by 5% for all listings under $500,000 and 10% for...
- Samsung Industry that requires you to act as a change agent to form an organizational change...
ADVERTISEMENT