A stock trades for $42 per share. A call option on that stock has a strike...

A stock trades for $42 per share. A call option on that stock has a strike price of $54 and an expiration date nine months in the future. The volatility of the stock's returns is 33%, and the risk-free rate is 2%. What is the Black and Scholes value of this option?

Solutions

Expert Solution

Value of call is 1.5389

jeff jeffy answered 1 year ago

Next > < Previous

Related Solutions

A stock trades for $47 per share. A call option on that stock has a strike...

A stock trades for $47 per share. A call option on that stock has a strike price of $53 and an expiration date six months in the future. The volatility of the stock's returns is 32%, and the risk-free rate is 5%. What is the Black and Scholes value of this option? The Black and Scholes value of this call option is $ ________. (Round to the nearest cent.)

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?

A stock trades for $47 per share. A call option on that stock has a strike...

A stock trades for $47 per share. A call option on that stock has a strike price of $51 and an expiration date three months in the future. The volatility of the stock's returns is 35%, and the risk-free rate is 2%. What is the Black and Scholes value of this option?

A call option written on CBA has a strike price of $78 and trades at $3.42....

A call option written on CBA has a strike price of $78 and trades at $3.42. CBA share price is $81. The split up of option value into intrinsic value and time value is: $3.00 intrinsic value and $0.42 time value -$2.00 intrinsic value and $5.42 time value $2.00 intrinsic value and $1.42 time value zero intrinsic value and $3.42 time value

A call option written on CBA has a strike price of $78 and trades at $3.42....

A call option written on CBA has a strike price of $78 and trades at $3.42. CBA share price is $81. The split up of option value into intrinsic value and time value is: a)$3.00 intrinsic value and $0.42 time value b)-$2.00 intrinsic value and $5.42 time value c)$2.00 intrinsic value and $1.42 time value d)zero intrinsic value and $3.42 time value

Jillian owns a call option on WAN stock with a strike price of $20 a share....

Jillian owns a call option on WAN stock with a strike price of $20 a share. Currently, WAN is selling for $24.50 a share. Jillian would like to profit on this option but is not permitted to exercise the option for another two weeks. She believes the stock will decline in value before the two weeks is up. What should she do? Multiple Choice Sell her option today Place an order to exercise her option on its expiration date Purchase...

Stock trades at $50. An at the money call option trades at $4. The maturity of...

Stock trades at $50. An at the money call option trades at $4. The maturity of the option is two years. The present value of the strike price over the two years is $45. The stock pays a dividend of 3 dollars in one year and no other dividends prior to expiration. The present value of the dividend is $2. The price of the European call option is $5. The price of the European put is $1.0. Construct a strategy...

Sally has a call option on one share of Ultra with a strike price of $40...

Sally has a call option on one share of Ultra with a strike price of $40 and a call option on one share of Boone with a strike price of $25. George has a call option on a portfolio that has one share of Ultra and one share of Boone. The strike price on George's call option is $65. These options are all expiring today. a. If Ultra is selling for $50 and Boone for $15, what is the value...

You buy a share of stock, write a one-year call option with strike X, and buy...

You buy a share of stock, write a one-year call option with strike X, and buy a one-year put option with same strike X. You know that stock shares are currently traded at the same price as the strike price of the options, i.e. options are at the money and S=X. Your net outlay to establish the entire portfolio is $30. Risk-free interest rate is 3% -What must the strike price X be? The stock pays no dividends. - Find...

You buy a share of stock, write a one-year call option with strike X, and buy...

You buy a share of stock, write a one-year call option with strike X, and buy a one-year put option with same strike X. You know that stock shares are currently traded at the same price as the strike price of the options, i.e. options are at the money. Your net outlay to establish the entire portfolio is $50. Risk-free interest rate is 4% -What must the strike price be? The stock pays no dividends. - Find the one-year stock...

Subjects