A stock trades for $46 per share. A call option on that stock has a strike price of $53 and an expiration date six months in the future. The volatility of the stock's returns is 45%, and the risk-free rate is 3%. What is the Black and Scholes value of this option? The Black and Scholes value of this call option is (Round to the nearest cent.)

A stock trades for $46 per share. A call option on that stock has a strike price of $53 and an expiration date six months in the future. The volatility of the stock's returns is 45%, and the risk-free rate is 3%. What is the Black and Scholes value of this option? The Black and Scholes value of this call option is (Round to the nearest cent.)

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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A stock is currently priced at $49 and will move up by a factor of 1.48 or down by a factor of 88 each period over each of the next two periods. The risk-free rate of interest is 3 percent. What is the value of a put option with a strike price of $697 (Do not round intermediate calculations. Round your answer to 2 decimal places.) Answer is complete but not entirely correct. Value of a put option $ 29.27
The current price of a non- dividend paying stock is $38.52. Use a two-step tree to value a European call option on the stock with a strike price $32.3 that expires in 12 months. The risk free rate is 9.9% per annum, and the volatility is 28.1 % . What is the option price?
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