Use the Black scholes formular to  find the call option price given the following informatio

Q: The current spot price of a stock is $89.00, the expected rate of return is 9.8%, and the volatility…

A: To Find: Delta & vega of European call with strike price $94 Delta & vega ofstraddle with…

Q: A stock is selling today for $110. The stock has an annual volatility of 64 percent and the annual…

A: Hi there, Thanks for posting the question. But as per Q&A guidelines, we should answer the first…

Q: Assume you want to price a call on a stock that has the price of $35 today. The option matures in…

A: Stock Price Today = $35 Strike Price  = $34 Upward Stock Price after 1 year = 35 + 10% * 35 = $…

Q: Investors expect the market rate of return this year to be 13.00%. The expected rate of return on a…

A: The expected rate of return on the stock will change by beta times the unanticipated change in the…

Q: Suppose a zero dividend payment stock is selling for K48 per share.The standard deviation of the…

A: Stock price is K 48 per share Strike price is 50 per share Risk free rate is 8% Standard deviation…

Q: Assume a stock price is g120, and in the next year, it will either rise by 10 percent or fall by 20…

A: Given in question that, Stock price = $120 In the next year, it will either rise by 10 percent…

Q: An analyst is interested in using the Black–Scholes model tovalue call options on the stock of…

A: Excel Spreadsheet: Excel Workings:

Q: The current price of a non-dividend paying stock is $30. Use a two-step tree to value a put option…

A: To find:  The price for a put option under three given circumstances.  Introduction: The simulation…

Q: Assume that the market is in equilibrium. MY stock is currently selling for $30 per share.  The…

A: CAPM or Capital Asset Pricing Model is the formula that represents the relationship between the…

Q: S&P 500 index is now at 3300 and has a volatility of 16% per annum. The exercise price of two-month…

A: A call option is an option where the option buyer has the choice to purchase the underlying asset at…

Q: The stock of Al-Maha Company is expected to have the following probability distributions with…

A: Option price: It is the amount of premium that the option’s buyer has to pay to the writer of the…

Q: ABC stock is currently trading at R70 per share. A dividend of R1 is expected after three months and…

A: A call option is a derivative instrument which gives right to the buyer to buy at a specific price…

Q: stock price is 43 and we need to price a call option with a strike of 45 maturing in 4 months. The…

A: The given problem relates to black scholes model.

Q: Goldman Sachs believes that market volatility will be 20% annually for the next three years.…

A: The portfolio which consists of call and put option is called delta neutral portfolio. In such a…

Q: A respected analyst forecasts that the return of the S&P 500 index portfolio over the coming year…

A: Risk aversion It is the tendency of people  to prefer  outcomes with  very low uncertainty to those…

Q: onsider the following data for a certain stock: Price of the stock now = 50 = Rs.150 Exercise price…

A: The Black-Scholes model is a popular mathematical model for valuation of the European style of…

Q: 2) Suppose that the price of a non-dividend-paying stock is $32, its volatility is 30%, and the…

A: Put option: It is a derivative that gives buyer an option to sell the asset at pre-decided date…

Q: The current price of a stock is $100 and has volatility σ of 0.25. The continuous risk free rate is…

A: Working note:

Q: The current price of KD Industries stock is $20. In the next year the stock price will either go up…

A: Current price of KD Industries stock = $20 Stock price will either go up by 20% or go down by 20%…

Q: Consider the following information for an individual stock Current share price is $30…

A: TO calculate the price of an European call option C0 = S0* N(d1) - E/ert N(d2) Where, C0 = European…

Q: ck price is 40 and we need to price a call option with a strike of 50 maturing in 4 months. The…

A: The given problem can be solved using Black scholes model.

Q: Use the Black-Scholes model to find the price for a call option with the following inputs: (1)…

A: given, S0= $30 k = $38 t = 7 months r= 5% σ= 0.36

Q: (a) An investor is considering an investment in XYZ stock.  The risk-free rate of return is 0.45%,…

A: “Since you have asked multiple questions, we will solve the first question for you. If you want any…

Q: A stock of 9 is currently priced at $38. A call option with an expiration of one year has an…

A:

Q: Suppose that call options on ExxonMobil stock with time to expiration 3 months and strike price $90…

A: The question is based on the concept of valuation of call option by Black & Scholes model and…

Q: The​ risk-free rate is 3.7% and you believe that the​ S&P 500's excess return will be 11​% over the…

A: CAPM or Capital Asset Pricing Model is the formula that represents the relationship between the…

Q: Suppose the stock price is 40 and we need to price a call option with a strike of 45 maturing in 4…

A: The given problem can be solved using Black Scholes model.

Q: Use the following information to calculate the price of a call using the 2-stage binomial options…

A: Stock price is $100 Strike price is $99 Risk free rate is 6% Upmove and down move movement is 8%…

Q: uppose Carol's stock price is currently $20. If the standard deviation of the continuously…

A: In this we need to calculate the call option price using binomial pricing strategy.

Q: Consider the following information: Stock price = $42 Exercise price $36 Risk-free rate = 5% per…

A: A model that helps to evaluate the price of options contracts and the financial instrument’s…

Q: The Hang Seng TECH Index (HSTECH) is currently trading at 8,100. The index is anticipated to pay no…

A: “Since you have posted a question with multiple sub-parts, we will solve the first three sub-parts…

Q: The spot price of a non-dividend paying stock is recorded as ₺100 at the close of the day. You…

A: Value of put option With stock price and strike price, the value of put option at a point in time is…

Q: Use the Black-Scholes Model to find the price for a call option with the following inputs: (1)…

A: Options are the strategies opted by investors in which investors have a right but not a commitment…

Q: Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e.,…

A: The method that helps in the valuation of option prices relative to their underlying asset's prices…

Q: XYZ Corp. will pay a $2 per share dividend in two months. Its stock price currently is $60 per…

A: Here, The stock price is 'S0' Interest rate is 'r' The exercise price is 'X' Standard deviation is…

Q: IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5…

A: Given that: The current stock sell is $84 IBM Expected price goes up by 7.5% or down by -3.0% Risk…

Q: The current price of KD Industries stock is $20. In the next year the stock price will either go up…

A: Call pay off = Share price - Strike price = (20 * 120%) - 20 = $4   Put pay off = Stike price -…

Q: Estimate the "Vega" of the following option. Assume that there are 252 days in a trading year and…

A: To calculate vega we first must determine d1. d1 is calculated with the formula below d1 = InS0X +(r…

Q: a) The following information is given. The expected rate of return of the index in next year is 30%,…

A: the calculations are stated below  rate of return = rf+beta(rm-rf)       rf = risk-free rate…

Q: ose the stock price is 40 and we need to price a call option with a strike of 45 maturing in 4…

A: The given problem relates to black and scholes model.

Q: Use the Black-Scholes formula to find the value of the put option using the next data: Stock price:…

A: Stock Price S  $                                                              5.03 Strike Price K…