1. SASOL is currently priced at R50. You want to determine the price of the stock...
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1. SASOL is currently priced at R50. You want to determine the price of the stock in 1 year. You believe there is a 30% chance that the stock will increase by a factor 1.75 or decrease by a factor 0.89. A call option on SASOL with an exercise price of R80 that expires in one year. Calculate the following: a) the price of the stock in the event of an increase b) the price of the stock in the event of a decrease c) the value of the call option in the up state d) the value of the call option in the down state 2. Use the Black-Scholes formula to find the value of a call option of the following stock: Time to maturity =6 months Standard deviation = 50% per year Exercise price Stock price Interest rate = 50 = 50 = 10% p.a. 1. SASOL is currently priced at R50. You want to determine the price of the stock in 1 year. You believe there is a 30% chance that the stock will increase by a factor 1.75 or decrease by a factor 0.89. A call option on SASOL with an exercise price of R80 that expires in one year. Calculate the following: a) the price of the stock in the event of an increase b) the price of the stock in the event of a decrease c) the value of the call option in the up state d) the value of the call option in the down state 2. Use the Black-Scholes formula to find the value of a call option of the following stock: Time to maturity =6 months Standard deviation = 50% per year Exercise price Stock price Interest rate = 50 = 50 = 10% p.a.
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a To calculate the price of the stock in the event of an increase we multiply the current stock price by the factor of increase Price of the stock in ... View the full answer
Related Book For
Managerial Economics A Problem Solving Approach
ISBN: 978-1133951483
3rd edition
Authors: Luke M. Froeb, Brian T. McCann, Mikhael Shor, Michael R. War
Posted Date:
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