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 0.26

Need asap... Suppose that you have a call option that is at 1.30. it has a Delta of .35 a Gamma of .06 a Theta of .02 assume Vega is constant. today the stock moves from $45 to $46. the next day (day 2) the stock moves another dollar to $47. What is the value of your call option at the end of day two? A. $2.02 B. $1.69 C. $1.73 D. $1.98

You buy a put and a call on a stock that expire at time T. They are European options. Both the put and the call have an exercise price of $50. Plot the cash flows at the time of expiry. This strategy has a name. What is it?

You buy a share of stock, write a one-year call option with X = $26, and buy a one-year put option with X = $26. Your net outlay to establish the entire portfolio is $24.60. What is the payoff of your portfolio? What must be the risk-free interest rate? The stock pays no dividends. (Do not round intermediate calculations. Round "risk-free rate" to 2 decimal places.)

None

In follow an Ito process with >0, a stock is worth $80 today, if the price of an option that pays the holder $2 exactly the first time the stock price reaches $200, what is the price of an option? Show all calculation.

What is the value of a call option if the underlying stock price is $112, the strike price is $105, the underlying stock volatility is 39 percent, and the risk-free rate is 6.1 percent? Assume the option has 128 days to expiration. (Round your answer to 2 decimal places. Omit the "$" sign in your response.) Call option $

You are pricing options with the following characteristics: •Current stock price (St): $35.60 •Exercise price (X): $50 •Time to expiration (T-t): 9 months •Risk-free rate (rf): 3.25% •Volatility (0): 45% (a): What is the Black-Scholes value of call option? In your hand-written solution, provide the calculations of d1,d2, and the final call price. Use Excel or another spreadsheet program to compute the values of N(d1) and N(d2). See the notes for details. (b): Using put-call parity, what is the value of a put option? For this case, assume continuous compounding, which implies that PVt(X)=e-r(T-t).X.

If the stock price increases, the price of a put option on that stock ________ and that of a call option _________.     decreases, increases     decreases, decreases     increases, decreases     increases, increases

Given the following information, predict the put option's new price after the stock's volatility changes. Initial put option price = $6 Initial volatility = 25% Vega = 13 New volatility = 18%   (required precision 0.01 +/- 0.01)   Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r