# Question: Suppose S 100 K 95 30

Suppose S = $100, K = $95, σ = 30%, r = 0.08, δ = 0.03, and T = 0.75.

a. Compute the Black-Scholes price of a call.

b. Compute the Black-Scholes price of a call for which S = $100 × e

−0.03×0.75,

K = $95 × e

−0.08×0.75, σ = 0.3, T = 0.75, δ = 0, r = 0. How does your answer compare to that for (a)?

a. Compute the Black-Scholes price of a call.

b. Compute the Black-Scholes price of a call for which S = $100 × e

−0.03×0.75,

K = $95 × e

−0.08×0.75, σ = 0.3, T = 0.75, δ = 0, r = 0. How does your answer compare to that for (a)?

**View Solution:**## Answer to relevant Questions

Make the same assumptions as in the previous problem. a. What is the 9-month forward price for the stock? b. Compute the price of a 95-strike 9-month call option on a futures contract. c. What is the relationship between ...Repeat Problem 13.10 for a 365-day 40-strike put. You have purchased a 40-strike call with 91 days to expiration. You wish to deltahedge, but you are also concerned about changes in volatility; thus, you want to vega-hedge your position as well. a. Compute and graph the ...Repeat the previous problem for a 40-strike 180-day put. Let S = $40, σ = 0.30, r = 0.08, T = 1, and δ = 0. Also let Q = $60, σQ = 0.50, δQ = 0, and ρ = 0.5. In this problem we will compute prices of exchange calls with S as the price of the underlying asset and Q as the ...Post your question