Question: 1. Using the Black-Scholes formula, obtain the call and put price of an option with the following information: to. Stock Price $100 b. Exercise price

1. Using the Black-Scholes formula, obtain the call and put price of an option with the following information: to. Stock Price $100 b. Exercise price $80 c. Expiry time 6 months d. Volatility 20% and. Risk free rate 11% Answer: Call: $24.3843 Put : $0.1031 2. Using the Black-Scholes formula, obtain the call and put price of an option with the following information: to. Stock Price $58 b. Exercise price $60 c. Time to expiration 124 days d. Volatility 12% and. Risk free rate 4% Answer: Call : $1.1129 Put : $2.2919 3. Use a binomial tree to price an option. to. Asset price $100 b. 80% probability that it will rise to $107 c. 20% chance it drops to $98 d. Strike price $105 Answer: v = $0.46 4. Use a binomial tree to find the price of an option. to. The price of the asset $99 b. 30% probability that it will rise to $110 c. 70% chance it drops to $80 d. Strike price $107 Answer: v = $1.9

Could you explain in detail the 4 problems above. The answers are already given I just need an explanation on how to get the answer.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

For this exercise, we use JTRAIN.RAW to determine the effect of the job training grant on hours of job training per employee. The basic model for the three years is (i) Estimate the equation using...

Using the Black-Scholes formula, obtain the call and put price of an option with the following information: to. Stock Price $100 b. Exercise price $80 c. Expiry time 6 months d. Volatility 20% and....

Using the Black-Scholes formula, obtain the call and put price of an option with the following information: a. Stock Price $58 b. Exercise price $60 c. Time to expiration 124 days d. Volatility 12%...

1. With the following information: stock price $100, exercise price 90, risk free rate 0.05, u is 1.2, d is 0.8. 2. Find the value of the call option today considering one-period binomial (10 points)...

Using the Black-Scholes formula, calculate the call price based on the following information: Stock Price= $100 Strike Price= $100 Interest Rate= 7% Time to expiration= six months Standard deviation=...

Can you please solve part C for me Question 1 a. Using the following data for Theta Ltd., calculate the value of a call option and a put option using the Black-Scholes formula: Current share price...

can I please get the answers for part c,d,e and f Question 1 a. Using the following data for Theta Ltd., calculate the value of a call option and a put option using the Black-Scholes formula: Current...

You will be valuing options on Apple that expire on 2022-04-14 Assume an interest rate of 2%. Assume no dividends As of writing, Apple is trading at 143.768. Make your start date today, October 15th...

1) You are to value an ATM call and put with 3 months to expiry. The current stock price is $20, the risk-free rate is 10% and volatility is 25% per annum. A) Use the Black-Scholes formula to...

please explain Use the Black-Scholes formula to value the following options: a. A call option written on a stock selling for $75 per share with a $75 exercise price. The stock's standard deviation is...

If the elasticity of demand for spring break packages to Cancun is -5 and if you notice that this year in Cancun the quantity of packages demanded increased by 10% then what happened to the price of...

The condensed product-line income statement for Century Ceramics Company for the current year is as follows: Fixed costs are 18% of the cost of goods sold and 30% of the selling and administrative...

Many exceptions exist, but the average load charge for mutual funds is Select one: A . 3 - 5 % . B . 1 1 . 5 - 1 4 . 5 % . C . 2 % . D . 8 . 5 % . E . 0 % .

Henry Carr and Noreen Mason formed a partnership, dividing income as follows: annual salary allowance to Carr of $42,000; interest of 7% on each partner's capital balance on January 1; any remaining...