A stock trades for $46 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 45%, and the risk-free rate is 3%. 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 $46 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 45%, and the risk-free rate is 3%. 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.)

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

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A stock is currently selling for $39. In one period, the stock will move up by a factor of 1.29 or down by a factor of .53. A call option with a strike price of $50 is available. If the risk-free rate of interest is 2.5 percent for this period, what is the value of the call option?
A stock trades for $45 per share. A call option on that stock has a strike price of $55 and an expiration date twelve months in the future. The volatility of the stock's returns is 44%, 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 $47 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 retums is 38%, and the risk free rate is 3%. 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) DOC
3. A stock sells for $110. A call option on the stock has an exercise price of $105 and expires in 43 days. If the interest rate is 0.11 and the standard deviation of the stock’s return is 0.25. a) Calculate the call using the Black-Scholes model b) What would be the price of a put with an exercise price of $140 and the same time until expiration? c) How does an increase in the volatility and interest rate changes affect the underlying stock’s return on an option’s value? Explain.
If a particular stock does not pay dividends and is currently priced at $24 per share, what should be the price of a call option with a maturity of one year and a strike price of $24.5 if put options with the same features currently cost $2? Assume a risk free rate of 2%. (use 5 decimal places)
A stock is currently selling for $45. Over the next two periods, the stock will move up by a factor of 1.23 or down by a factor of .61 each period. A call option with a strike price of $54 is available. If the risk-free rate of interest is 3.2 percent per period, what is the value of the call option? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of the call option
Suppose that a call option with a strike price of $48 expires in one year and has a current market price of $5.17. The market price of the underlying stock is $46.25, and the risk-free rate is 1%. Use put-call parity to calculate the price of a put option on the same underlying stock with a strike of $48 and an expiration of one year. The price of a put option on the same underlying stock with a strike of $48 and an expiration of one year is $. (Round to the nearest cent.)
A stock trades today at $73.14. (a) Write down the intrinsic value of a call option with strike price K = 72.50. (b) Assuming that the option in (a) expires three months from now and that the risk-free interest rate is 4.06% per annum, find a theoretcal lower bound for the price of the option (to the nearest cent). (c) Suppose that the price of the call option (with strike price and expiration date as above) is $1.82. Find the no-arbitrage price for a European-style put option with the same strike price and expiration date.
A call option on a non-dividend-paying stock has a strike price of $30 and a time to maturity of six months. The risk-free rate is 4% and the volatility is 25%. The stock price is $28. What is the delta of the option?
A stock is currently selling for $39. Over the next two periods, the stock will move up by a factor of 1.29 or move down by a factor of 0.53 each period. A call option with a strick price of $50 is available. If the risk-free rate of interest is 3.2 percent per period, what is the value of the call option?
Estimate the "Rho" of the following option. Assume that there are 252 days in a trading year and thus exactly 6-months until expiration means 126 trading days until expiration. The option is a call option. The stock is trading at $1,000. The option has exactly 6-months until expiration. The option strike price is $1,050. The risk-free rate is 3%. The stock pays no dividends. Our best estimate of the stock's volatility is 40% annualized. Group of answer choices $.55 $1.12 $1.78
A stock is currently priced at $38 and will move up by a factor of 1.3 or down by a factor of 0.51 each period over each of the next two periods. The risk-free rate of interest is 3 percent. What is the value of a put option with a strike price of $49?

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