10 6 points Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 53% per year Exercise price $43 Stock price $43 Annual interest rate 3% Dividend 0 eBook Recalculate the value of the call with the following changes: a. Time to expiration b. Standard deviation Print c. Exercise price References d. Stock price e. Interest rate 3 months 25% per year $49 $49 5% Select each scenario independently. Note: Round your answers to 2 decimal places. Value of the Call Option a. C falls to b. C falls to c. C falls to d. C rises to e. C rises to Check my work
10 6 points Use the Black-Scholes formula for the following stock: Time to expiration 6 months Standard deviation 53% per year Exercise price $43 Stock price $43 Annual interest rate 3% Dividend 0 eBook Recalculate the value of the call with the following changes: a. Time to expiration b. Standard deviation Print c. Exercise price References d. Stock price e. Interest rate 3 months 25% per year $49 $49 5% Select each scenario independently. Note: Round your answers to 2 decimal places. Value of the Call Option a. C falls to b. C falls to c. C falls to d. C rises to e. C rises to Check my work
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
Transcribed Image Text:10
6
points
Use the Black-Scholes formula for the following stock:
Time to expiration
6 months
Standard deviation
53% per year
Exercise price
$43
Stock price
$43
Annual interest rate
3%
Dividend
0
eBook
Recalculate the value of the call with the following changes:
a. Time to expiration
b. Standard deviation
Print
c. Exercise price
References
d. Stock price
e.
Interest rate
3 months
25% per year
$49
$49
5%
Select each scenario independently.
Note: Round your answers to 2 decimal places.
Value of the
Call Option
a.
C falls to
b. C falls to
c. C falls to
d. C rises to
e.
C rises to
Check my work
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