Question: PROBLEM 4 (6 points): Calculate the call premium using Black-Scholes for t 0.269178 (equivalent to 7 additional days) and S-60, K = 64, r-5%, 0.2

PROBLEM 4 (6 points): Calculate the call premium using Black-Scholes for

PROBLEM 4 (6 points): Calculate the call premium using Black-Scholes for t 0.269178 (equivalent to 7 additional days) and S-60, K = 64, r-5%, 0.2 (same as in Problem 1) A. Show your new value for C. (1 point) B. Calculate the call premium using Optall2basic.xls, and show the Optall2basic value for C. Compare your manually-calculated call premium to this Optall2basic value; if there is a large discrepancy, check your manually-calculated value for errors. (I point) C. Calculate the change in the premium by subtracting the call premium value you obtained in Problem 1, Part A from the value you obtained in Problem 4, Part A above, divide by 7 to get the change for one day, and show the result. (1 point) D. What Greek does this "change in premium" represent? Why is it positive? (2 points) PROBLEM 4 (6 points): Calculate the call premium using Black-Scholes for t 0.269178 (equivalent to 7 additional days) and S-60, K = 64, r-5%, 0.2 (same as in Problem 1) A. Show your new value for C. (1 point) B. Calculate the call premium using Optall2basic.xls, and show the Optall2basic value for C. Compare your manually-calculated call premium to this Optall2basic value; if there is a large discrepancy, check your manually-calculated value for errors. (I point) C. Calculate the change in the premium by subtracting the call premium value you obtained in Problem 1, Part A from the value you obtained in Problem 4, Part A above, divide by 7 to get the change for one day, and show the result. (1 point) D. What Greek does this "change in premium" represent? Why is it positive? (2 points)

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