Use the Black-Scholes formula for the following stock: Time to expiration. 6 months Standard deviation 56% per year Exercise price $55 Stock price $55 Annual interest rate 6% Dividend 0 Recalculate the value of the call with the following changes: a. Time to expiration b. Standard deviation c. Exercise price d. Stock price e. Interest rate 3 months 30% per year $63 $63 9% Select each scenario independently. Note: Round your answers to 2 decimal places. a. b. C. d. نه Value of the Call Option
Use the Black-Scholes formula for the following stock: Time to expiration. 6 months Standard deviation 56% per year Exercise price $55 Stock price $55 Annual interest rate 6% Dividend 0 Recalculate the value of the call with the following changes: a. Time to expiration b. Standard deviation c. Exercise price d. Stock price e. Interest rate 3 months 30% per year $63 $63 9% Select each scenario independently. Note: Round your answers to 2 decimal places. a. b. C. d. نه Value of the Call Option
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 5P
Related questions
Question
![Use the Black-Scholes formula for the following stock:
Time to expiration.
6 months
Standard deviation
56% per year
Exercise price
$55
Stock price
$55
Annual interest rate
6%
Dividend
0
Recalculate the value of the call with the following changes:
a. Time to expiration
b. Standard deviation
c. Exercise price
d. Stock price
e.
Interest rate
3 months
30% per year
$63
$63
9%
Select each scenario independently.
Note: Round your answers to 2 decimal places.
a.
b.
C.
d.
نه
Value of the
Call Option](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F367d59f6-0449-4d89-8e99-ffee24a37072%2Ff80ec262-ec94-4cf7-8706-b481a34c3fd8%2F9rqjy1a_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Use the Black-Scholes formula for the following stock:
Time to expiration.
6 months
Standard deviation
56% per year
Exercise price
$55
Stock price
$55
Annual interest rate
6%
Dividend
0
Recalculate the value of the call with the following changes:
a. Time to expiration
b. Standard deviation
c. Exercise price
d. Stock price
e.
Interest rate
3 months
30% per year
$63
$63
9%
Select each scenario independently.
Note: Round your answers to 2 decimal places.
a.
b.
C.
d.
نه
Value of the
Call Option
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