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?

Solutions

Expert Solution

Value of Call Option = $5.74

Please upvote if satisfied

jeff jeffy answered 1 year ago

Next > < Previous

Related Solutions

Use the Black-Scholes Option Pricing Model for the following problem. Given: S0 = $0.70/€; K =...

Use the Black-Scholes Option Pricing Model for the following problem. Given: S0 = $0.70/€; K = $0.70/€; T = 70 days; rd = 0.06, rf=0.03 annually;  = 0.205. What is the value of the put option?

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...

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)

The following information applies to the next two questions. Use the Black-Scholes Option Pricing Model for...

The following information applies to the next two questions. Use the Black-Scholes Option Pricing Model for the following option. Stock price S0 = $70; Time to Maturity T = 6 months; Risk free rate r = 10% annually; Standard deviation STD = 50% per year. No dividends will be paid before option expires. 10. What is the value of d1 in the Black-Scholes model for a call option with a striking price of $70 on the above stock? 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.

Using the Black-Scholes option pricing model, find the premium for a call on Disney. The stock...

Using the Black-Scholes option pricing model, find the premium for a call on Disney. The stock currently trades for $138.58. The expiration is in 30 days. The strike price is $144. The risk free rate is 2% and the volatility (standard deviation) of the stock is .2

Using the Black-Scholes option pricing model, find the premium for a put on Uber. The stock...

Using the Black-Scholes option pricing model, find the premium for a put on Uber. The stock currently trades for $26.70. The expiration is in 23 days. The strike price is $30. The risk free rate is 2.25% and the volatility (standard deviation) of the stock is .44.

Black-Scholes option pricing Suppose the stock price is 50 and we need to price a call...

Black-Scholes option pricing Suppose the stock price is 50 and we need to price a call option with a strike of 55 maturing in 2 months. The stock is not expected to pay dividends. The continuously compounded risk-free rate is 3%/year, the mean return on the stock is 7%/year, and the standard deviation of the stock return is 30%/year. What is the N(d1) and N(d2)? What is the price of the call option? What is the price of a put...

Subjects