Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend 6 months 43% per year $58 $57 2% 0 Calculate the value of a call option. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a call option
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- 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 Exercise price Interest rate Dividend yield Time to expiration Standard deviation of stock's returns Call value GA $ $ $ 48 60 0.07 0.04 0.50 0.26Use the Black-Scholes formula to find the value of a call option based on the following inputs. Note: Do not round intermediate calculations. Round your final answer to 2 decimal places. Stock price Exercise price Interest rate Dividend yield Time to expiration Standard deviation of stock's returns Call value $ 51 $ 64 0.068 0.04 0.50 0.265Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Interest rate |||||||||| Value of a call option = = 6 months 56 % per year 55 = 54 6% Calculate the value of a call option. (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the "S" sign in your response.)
- What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price Exercise price Risk-free rate Maturity Standard deviation Call price Put price = $81 = $75 3.60% per year, compounded continuously = 5 months = 57% per yearWhat are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price=$79Exercise price=$75Risk-free rate=3.50% per year, compounded continuouslyMaturity=5 monthsStandard deviation=58% per yearConsider shorting a call option c on a stock S where S = 24 is the value of the stock, K = 30 is the strike price, T = ½ is the expiration date, r = 0.04 is the continuously compounded interest rate per year, and = 0.3 is the volatility of the price of the stock. Determine the delta ratio Δ .
- What are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price = $76 Exercise price = $75 Risk-free rate = 4.50% per year, compounded continuously Maturity = 4 months Standard deviation = 63% per year Call price $ Put price $Calculate the value of a call option for the following stock. Use the Black-Scholes formula. Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend 6 months 50% per year $50 $50 3% 0 (Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a call optionWhat are the prices of a call option and a put option with the following characteristics? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Stock price = $74 Exercise price = $70 Risk-free rate= Call price Put price 4.40% per year, compounded continuously Maturity = 4 months Standard deviation = 62% per year
- Consider two put options on different stocks. The table below reports the relevant information for both options: Put optionTime to maturityCurrent price of underlying stockStrike priceVolatility ( )X1 year$27$1830%Y1 year$25$2030%All else equal, which put option has a lower premium? A.Put option Y B.Put option XUse the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price 6 months 51% per year $41 $39 Annual interest rate 6% Dividend 0 Stock price Calculate the value of a put option. Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Value of a put optionUsing the binomial call option model to find the current value of a call option with a $25 exercise price on a stock currently priced at $26. Assume the option expires at the end of two periods, the riskless interest rate is ½ percent per period. What are the hedge ratios?