Magenta Corporation has a put option which it purchased 30 days ago. The option originally has a term of 120 days. The underlying assets are 1,000 Zeta Corp. stocks with total current market value of P1,125,000. The total agreed price is P1,080,000. If the risk-free rate is 5% and the volatility of the stock price is P45%, how much is the total value of the option?

Magenta Corporation has a put option which it purchased 30 days ago. The option originally has a term of 120 days. The underlying assets are 1,000 Zeta Corp. stocks with total current market value of P1,125,000. The total agreed price is P1,080,000. If the risk-free rate is 5% and the volatility of the stock price is P45%, how much is the total value of the option?

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section20.A: The Black-scholes Option Pricing Model

Problem 1P

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