Question
In: Finance
A stock trades for $43 per share. A call option on that stock has a strike...
A stock trades for $43 per share. A call option on that stock has a strike price of $51 and an expiration date six months in the future. The volatility of the stock's returns is 48%, and the risk-free rate is 66%. What is the Black and Scholes value of this option?
Solutions
Expert Solution
At Risk Free Rate of 6% - Value of Call = $3.51
At Risk Free Rate of 66% - Value of Call = $9.11
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jeff jeffy answered 1 year agoRelated Solutions
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A stock trades for
$46
per share. A call option on that stock has a strike price of
$54
and an expiration date
threethree
months in the future. The volatility of the stock's returns
is
37%,
and the risk-free rate is
6%.
What is the Black and Scholes value of this option?
A stock trades for $46 per share. A call option on that stock has a strike...
A stock trades for
$46
per share. A call option on that stock has a strike price of
$54
and an expiration date
three
months in the future. The volatility of the stock's returns
is
37%
and the risk-free rate is
6%.
What is the Black and Scholes value of this option?
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value into intrinsic value and time value is:
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b)-$2.00 intrinsic value and $5.42 time value
c)$2.00 intrinsic value and $1.42 time value
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