Corporate Finance (4th Edition) (Pearson Series in Finance) - Standalone book
4th Edition
ISBN: 9780134083278
Author: Jonathan Berk, Peter DeMarzo
Publisher: PEARSON
expand_more
expand_more
format_list_bulleted
Videos
Textbook Question
Chapter 21, Problem 11P
Roslin Robotics stock has a volatility of 30% and a current stock price of $60 per share. Roslin pays no dividends. The risk-free interest is 5%. Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock.
Expert Solution & Answer
Want to see the full answer?
Check out a sample textbook solution
Students have asked these similar questions
Roslin Robotics stock has a volatility of 30% and a current stock price of $60 per share. Roslin pays no dividends. The risk-free interest rate is 5%. Determine the Black-Scholes value of a one-year, at-the-money call option (i.e. strike price = 60) on Roslin stock.
Shopify, Inc common stock currently sells for $1,185.31 per share, and the standard deviation of returns
is 68.35%. A put option with a strike price of $1,100 is currently trading on the market. The option expires
in 0.15 years, and the risk-free rate of return is 4.3%. Shopify does not pay a dividend. What is rho (p) for
this put option assuming a continuous model such as the Black-Scholes model?
O 94.5148
O 93.8567
O 93.3034
O 70.6357
Roslin Robotics stock has a volatility of
28%
and a current stock price of
$72
per share. Roslin pays no dividends. The risk-free interest is
5%.
Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock.
The Black-Scholes value of a one-year, at-the-money call option on Roslin stock is
$ Enter your response here.
(Round to the nearest cent.)
Chapter 21 Solutions
Corporate Finance (4th Edition) (Pearson Series in Finance) - Standalone book
Ch. 21.1 - What is the key assumption of the binomial option...Ch. 21.1 - Why dont we need to know the probabilities of the...Ch. 21.1 - Prob. 3CCCh. 21.2 - What are the inputs of the Black-Scholes option...Ch. 21.2 - What is the implied volatility of a stock?Ch. 21.2 - How does the delta of a call option change as the...Ch. 21.3 - What are risk-neutral probabilities? How can they...Ch. 21.3 - Does the binominal model or Black-Scholes model...Ch. 21.4 - Is the beta of a call greater or smaller than the...Ch. 21.4 - What is the leverage ratio of a call?
Ch. 21.5 - Prob. 1CCCh. 21.5 - The fact that equity is a call option on the firms...Ch. 21 - The current price of Estelle Corporation stock is...Ch. 21 - Using the information in Problem 1, use the...Ch. 21 - Suppose the option in Example 21.11 actually sold...Ch. 21 - Eagletrons current stock price is 10. Suppose that...Ch. 21 - What is the highest possible value for the delta...Ch. 21 - Hema Corp. is an all equity firm with a current...Ch. 21 - Consider the setting of Problem 9. Suppose that in...Ch. 21 - Roslin Robotics stock has a volatility of 30% and...Ch. 21 - Rebecca is interested in purchasing a European...Ch. 21 - Using the data in Table 21.1, compare the price on...Ch. 21 - Consider again the at-the-money call option on...Ch. 21 - Harbin Manufacturing has 10 million shares...Ch. 21 - Using the information on Harbin Manufacturing in...Ch. 21 - Using the information in Problem 1, calculate the...Ch. 21 - Prob. 23PCh. 21 - Prob. 24PCh. 21 - Calculate the beta of the January 2010 9 call...Ch. 21 - Consider the March 2010 5 put option on JetBlue...
Additional Business Textbook Solutions
Find more solutions based on key concepts
The executive vice-president in charge of finance believes the price will not fall in proportion to the size of...
Foundations of Finance (9th Edition) (Pearson Series in Finance)
Coefficient of variation. Introduction: Risk: The risk can be defined as the uncertainty attached to an event s...
Gitman: Principl Manageri Finance_15 (15th Edition) (What's New in Finance)
To calculate the current WACC. Introduction: The weighted average cost of capital is defined as the expected av...
Principles of Managerial Finance (14th Edition) (Pearson Series in Finance)
What is a beta? How is it used to calculate r, the investor’s required rate of return?
Foundations Of Finance
1-1. Define marketing and outline the steps in the marketing process. (AASCB: Communication)
Marketing: An Introduction (12th Edition)
Knowledge Booster
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, finance and related others by exploring similar questions and additional content below.Similar questions
- Shopify, Inc common stock currently sells for $1,229.91 per share, and the standard deviation of returns is 58.67%. A call option with a strike price of $1,100 is currently trading on the market. The option expires in 0.15 years, and the risk-free rate of return is 0.9%. Shopify does not pay a dividend. What is rho (ρ) for this call option assuming a continuous model such as the Black-Scholes model? A) 104.1327 B) 107.2895 C) 57.7772 D) 107.0002arrow_forwardIf 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)arrow_forwarduppose an American put is trading for $16.50and an American call is trading for $15, whereboth options have identical terms. The underlying stock price is $99, and the exercise price is$100. The annual risk - free interest rate is 5 per cent, and the time to expiration for both optionsis one year. Assuming that the stock pays no dividends, identify the appropriate arbitrage trading strategyarrow_forward
- you observe a premium of $4.49 for a call option on Birdwell enterprises common stock which is currently trading at $50. the strike price on the call option is $51. The option has 4 months to maturity, the stock pays no dividend. The current risk-free interest rate is 4.5%. What is implied volatility of the stock?arrow_forwardSubject :- Finance Roslin Robotics stock has a volatility of 25% and a current stock price of $67 per share. Roslin pays no dividends. The risk-free interest is 5%. Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock.arrow_forwardIf 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)arrow_forward
- Compute the Black-Scholes price of a put option on a stock which does not pay dividends and has the volatility 0.3, if its exercise price is 200 USD and expiration in two year. Interest rate is zero and the price of the stock is 180 USD.arrow_forwardA call option on Juniper Corporation stock with an exercise price of $60 and an expiration date 1 year from now is worth $3.30 today. A put option on Juniper Corporation stock with an exercise price of $60 and an expiration date 1 year from now is worth $2.80 today. The risk-free rate of return is 6%, and Juniper Corporation pays no dividends. The stock should be worth __________ today.arrow_forwardTaagart has a volatility of 25% and a current share price of $40. Taagart does not pay dividends. The risk- free interest rate is 4%. Assume a one-year at-the-money call option. An increase in the volatility of the option from 25% to 40% affects the price of this call option so that it: A) increases by $0.70 B) increases by $2,30 C) decrease by $1,70 D) increases by $2,80arrow_forward
- Compute the Black-Scholes price of a call option on a stock which does not pay dividends and has the volatility 0.3, if its exercise price is 200 USD and expiration in two year. Interest rate is zero and the price of the stock is 180 USDarrow_forwardThe current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $26. Assume the risk-free rate is zero. What is the initial value of the call option? Choose the right answer: a. $2 b. $3 c. $1.6 d. $2.4arrow_forwardCompute the Black-Scholes price of a call option on a stock which does not pay dividends and has the volatility 0.2, if its exercise price is 200 USD and expiration in one year. Interest rate is zero and the price of the stock is 180 USD. Use excel and share the formula template.arrow_forward
arrow_back_ios
SEE MORE QUESTIONS
arrow_forward_ios
Recommended textbooks for you
Essentials Of InvestmentsFinanceISBN:9781260013924Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.Publisher:Mcgraw-hill Education,
Foundations Of FinanceFinanceISBN:9780134897264Author:KEOWN, Arthur J., Martin, John D., PETTY, J. WilliamPublisher:Pearson,
Fundamentals of Financial Management (MindTap Cou...FinanceISBN:9781337395250Author:Eugene F. Brigham, Joel F. HoustonPublisher:Cengage Learning
Corporate Finance (The Mcgraw-hill/Irwin Series i...FinanceISBN:9780077861759Author:Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan ProfessorPublisher:McGraw-Hill Education
Essentials Of Investments
Finance
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Mcgraw-hill Education,
Foundations Of Finance
Finance
ISBN:9780134897264
Author:KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:Pearson,
Fundamentals of Financial Management (MindTap Cou...
Finance
ISBN:9781337395250
Author:Eugene F. Brigham, Joel F. Houston
Publisher:Cengage Learning
Corporate Finance (The Mcgraw-hill/Irwin Series i...
Finance
ISBN:9780077861759
Author:Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:McGraw-Hill Education
Accounting for Derivatives Comprehensive Guide; Author: WallStreetMojo;https://www.youtube.com/watch?v=9D-0LoM4dy4;License: Standard YouTube License, CC-BY
Option Trading Basics-Simplest Explanation; Author: Sky View Trading;https://www.youtube.com/watch?v=joJ8mbwuYW8;License: Standard YouTube License, CC-BY