Tanker Company stock currently sells for 30 per share and has an anticipated volatility (annual return standard
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Tanker Company stock currently sells for 30 per share and has an anticipated volatility (annual return standard deviation) equal to 0.6. Three-month (0.25 year) call options are available on this stock with an exercise price equal to 25. The current riskless return rate equals 0.05.
a. Calculate the call’s value.
b. Calculate the call’s delta, gamma, theta, vega, and rho.
c. What is the Black-Scholes implied probability that the stock price will exceed 25 three months from now?
d. What is the value of a put with the same exercise terms as the call?
e. What are the Greeks for the put in part d?
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a Tanker Company calls expiring in three months with an exercise price equal to 25 are curren...View the full answer
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