Put together a Black–Scholes option calculator in Excel to answer the following.(a) What is the call-option value withS0 = $45, K = $48, r = 6%, T = 15 months,and volatility = 40%?(b) What is the put-option value withS0 = $60, K = $65, r = 6%, T = 18 months,and volatility = 20%?(c) What is the put-option value withS0 = $38, K = $40, r = 6%, T = 3 months,and volatility = 60%?(d) What is the call-option value withS0 = $100, K = $95, r = 8%, T = 3 years,and volatility = 40%?
Put together a Black–Scholes option calculator in Excel to answer the following.(a) What is the call-option value withS0 = $45, K = $48, r = 6%, T = 15 months,and volatility = 40%?(b) What is the put-option value withS0 = $60, K = $65, r = 6%, T = 18 months,and volatility = 20%?(c) What is the put-option value withS0 = $38, K = $40, r = 6%, T = 3 months,and volatility = 60%?(d) What is the call-option value withS0 = $100, K = $95, r = 8%, T = 3 years,and volatility = 40%?
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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Put together a Black–Scholes option calculator in Excel to answer the following.
(a) What is the call-option value with
S0 = $45, K = $48, r = 6%, T = 15 months,
and volatility = 40%?
(b) What is the put-option value with
S0 = $60, K = $65, r = 6%, T = 18 months,
and volatility = 20%?
(c) What is the put-option value with
S0 = $38, K = $40, r = 6%, T = 3 months,
and volatility = 60%?
(d) What is the call-option value with
S0 = $100, K = $95, r = 8%, T = 3 years,
and volatility = 40%?
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