Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN: 9781337395083
Author: Eugene F. Brigham, Phillip R. Daves
Publisher: Cengage Learning
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Transcribed Image Text:Use the Black-Scholes formula for the following stock:
Time to expiration
Standard deviation
Exercise price
6 months
56% per year
$55
Stock price
$55
Annual interest rate
6%
0
Dividend
Recalculate the value of the call with the following changes:
a. Time to expiration
b. Standard deviation
c. Exercise price
d. Stock price
e. Interest rate
3 months
30% per year
$63
$63
9%
Select each scenario independently.
Note: Round your answers to 2 decimal places.
a.
b.
C.
d.
e.
Value of the
Call Option
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