In the Put-Call Parity Tab you have side by side structures for both Black's Model and...

 

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In the Put-Call Parity Tab you have side by side structures for both Black's Model and the Black-Scholes model. Volatility is 25%, the risk-free rate is 4%, time to maturity is 0.5 year, current cash price is $10. The strike price is determined by changing the strike percent in Row 6 (1 = 100% current spot/futures price at the money) a) (5 points) Write out and explain the Put-Call Parity Relationship for both the Black-Scholes and Black models. b) (10 points) For strike prices of 8, 10, 12 (B6 = 0.8, 1.0, 1.20) record the values of call options in cells C14 and E14. Using put-call parity for stocks and futures, compute the price of the corresponding put price, showing your work, and verifying with options prices in C15 and E15. c) (10 points) For strike prices of 8, 10, 12 (B6 = 0.8, 1.0, 1.20) record the values of put options in cells C15 and E15. Using put-call parity for stocks and futures, compute the price of the corresponding call price, showing your work, and verifying with options prices in C14 and E14. A 1 2 Volatility 3 Risk Free Rate 4 Time to Maturity 5 current price 6 Strike Percent 7 Strike Price 8 d1 9 d2 10 Norm(d1) (used in Call) 11 Norm(d2) (used in Call) 12 Norm(-d1) (used in Put) 13 Norm(-d2) (used in Put) 14 Call Option Premium 15 Put Option premium 16 17 18 B Common Calculated Common Common/calculated Common Calculated Calculated Calculated Calculated Calculated Calculated Calculated Calculated C Black Scholes (Stock) 0.250 0.040 0.500 10.000 1.000 10.000 0.202 0.025 0.580 0.510 0.420 0.490 0.801 0.603 D E Black's Model (Futures) 0.250 0.040 0.500 10.000 1.000 10.000 0.088 -0.088 0.535 0.465 0.465 0.535 0.690 0.690 F In the Put-Call Parity Tab you have side by side structures for both Black's Model and the Black-Scholes model. Volatility is 25%, the risk-free rate is 4%, time to maturity is 0.5 year, current cash price is $10. The strike price is determined by changing the strike percent in Row 6 (1 = 100% current spot/futures price at the money) a) (5 points) Write out and explain the Put-Call Parity Relationship for both the Black-Scholes and Black models. b) (10 points) For strike prices of 8, 10, 12 (B6 = 0.8, 1.0, 1.20) record the values of call options in cells C14 and E14. Using put-call parity for stocks and futures, compute the price of the corresponding put price, showing your work, and verifying with options prices in C15 and E15. c) (10 points) For strike prices of 8, 10, 12 (B6 = 0.8, 1.0, 1.20) record the values of put options in cells C15 and E15. Using put-call parity for stocks and futures, compute the price of the corresponding call price, showing your work, and verifying with options prices in C14 and E14. A 1 2 Volatility 3 Risk Free Rate 4 Time to Maturity 5 current price 6 Strike Percent 7 Strike Price 8 d1 9 d2 10 Norm(d1) (used in Call) 11 Norm(d2) (used in Call) 12 Norm(-d1) (used in Put) 13 Norm(-d2) (used in Put) 14 Call Option Premium 15 Put Option premium 16 17 18 B Common Calculated Common Common/calculated Common Calculated Calculated Calculated Calculated Calculated Calculated Calculated Calculated C Black Scholes (Stock) 0.250 0.040 0.500 10.000 1.000 10.000 0.202 0.025 0.580 0.510 0.420 0.490 0.801 0.603 D E Black's Model (Futures) 0.250 0.040 0.500 10.000 1.000 10.000 0.088 -0.088 0.535 0.465 0.465 0.535 0.690 0.690 F

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PutCall Parity in Black and BlackScholes Models a PutCall Parity Relationship PutCall Parity states ... View the full answer