Calculate, using the Black-Scholes formula, the value of a call option given the follow- ing information:...
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Calculate, using the Black-Scholes formula, the value of a call option given the follow- ing information: = 7% = 90 days = $50 Interest rate Time to expiration Stock price Exercise price = $45 Standard deviation = 0.4 What is the price of the put using the same information? Using the information change in inputs by recalculating the call value if a. The interest rate doubles to 14 percent, but all other values remain the same. b. The standard deviation doubles to 0.8, but all other values remain the same. c. Which change causes the greatest change in the value of the call? What can you infer from this? determine the sensitivity of the call value to a Calculate, using the Black-Scholes formula, the value of a call option given the follow- ing information: = 7% = 90 days = $50 Interest rate Time to expiration Stock price Exercise price = $45 Standard deviation = 0.4 What is the price of the put using the same information? Using the information change in inputs by recalculating the call value if a. The interest rate doubles to 14 percent, but all other values remain the same. b. The standard deviation doubles to 0.8, but all other values remain the same. c. Which change causes the greatest change in the value of the call? What can you infer from this? determine the sensitivity of the call value to a
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Related Book For
Fundamentals of Taxation 2018
ISBN: 9781259713736
11th Edition
Authors: Ana M. Cruz Dr., Michael Deschamps, Frederick Niswander, Debra Prendergast, Dan Schisler
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