Question
In: Finance
Use Black/Scholes formula to calculate the theoretical price of a call given the following info: &nb
Use Black/Scholes formula to calculate the theoretical price of a call given the following info:
Stock Px – 66 Exercise Px – 60 Variance – 0.4839 Std Dev ?
Int Rate – 5% Time remaining – 219 days
- ln s/k
- (r + var/2) x sqrt (t)
- Std x (sqrt t)
- d1 =
- d2 =
- K x e –rt
Solutions
jeff jeffy answered 10 months agoRelated Solutions
Use the Black-Scholes formula to find the value of a call option based on the following...
Use the Black-Scholes formula to find the value of a call option
based on the following inputs. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
36.00
Exercise price
$
45.00
Interest rate
6.00
%
Dividend yield
5.00
%
Time to expiration
0.5833
Standard deviation of stock’s returns
49.00
%
Call value
$
?
Use the Black-Scholes formula to find the value of a call option based on the following...
Use the Black-Scholes formula to find the value of a call option
based on the following inputs. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
53.00
Exercise price
$
51.00
Interest rate
5.00
%
Dividend yield
3.00
%
Time to expiration
0.2500
Standard deviation of stock’s returns
38.00
%
Call value
$
Use the Black-Scholes formula to find the value of a call option based on the following...
Use the Black-Scholes formula to find the value of a call option
based on the following inputs. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
39.00
Exercise price
$
31.00
Interest rate
6.00
%
Dividend yield
1.00
%
Time to expiration
0.9167
Standard deviation of stock’s returns
26.00
%
Call value
Use the Black-Scholes formula to find the value of a call option based on the following...
Use the Black-Scholes formula to find the value of a call option
based on the following inputs. (Round your final answer to
2 decimal places. Do not round intermediate
calculations.)
Stock price
$
38.00
Exercise price
$
40.00
Interest rate
3.00
%
Dividend yield
5.00
%
Time to expiration
0.7500
Standard deviation of stock’s returns
40.00
%
Call value
$
Use the Black–Scholes formula to value the following option: A call option written on a stock...
Use the Black–Scholes formula to value the following
option: A call option written on
a stock selling for $60 per
share with a $60 exercise price. The stock's standard
deviation is 6% per month. The
option matures in three months. The risk-free
interest rate is 1% per
month.
What is the value of a put option written on the same stock at the
same
time,
with the same exercise price and expiration date.
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 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 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...
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