Muhammad Afifi wants to earn an income by writing a call option on Gamuda Berhad stock....
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Muhammad Afifi wants to earn an income by writing a call option on Gamuda Berhad stock. The current stock price of Gamuda is RM40 per share, and Afifi wants to write a 3-month call option with a striking price of RM40 per share. Afifi plans to use the Black-Scholes model (BSOPM) to determine the appropriate premium to charge for the call option. Afifi has determined that the stock's variance is 0.25. The riskless rate is assumed to be 9 percent. Calculate the theoretical value of the Gamuda's call premium by using Black-Scholes model. (10 marks) b) Using the Black-Scholes model (BSOPM), compute the standard deviation that is implied by the following call option data as: the time to the option's maturity is 0.25 years, the price of the underlying option asset is RM30, the continuously compounded risk-free interest rate is 0.12, the exercise or striking price is RM30, and the cost or premium of the call is RM1.90. (10 marks) Muhammad Afifi wants to earn an income by writing a call option on Gamuda Berhad stock. The current stock price of Gamuda is RM40 per share, and Afifi wants to write a 3-month call option with a striking price of RM40 per share. Afifi plans to use the Black-Scholes model (BSOPM) to determine the appropriate premium to charge for the call option. Afifi has determined that the stock's variance is 0.25. The riskless rate is assumed to be 9 percent. Calculate the theoretical value of the Gamuda's call premium by using Black-Scholes model. (10 marks) b) Using the Black-Scholes model (BSOPM), compute the standard deviation that is implied by the following call option data as: the time to the option's maturity is 0.25 years, the price of the underlying option asset is RM30, the continuously compounded risk-free interest rate is 0.12, the exercise or striking price is RM30, and the cost or premium of the call is RM1.90. (10 marks)
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a The theoretical value of the Gamudas call premium by using BlackScholes model can be calcula... View the full answer
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