Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend 6 months 56% per year $55 $55 6% 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. e. 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 3Q
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Use the Black-Scholes formula for the following stock:
Time to expiration
Standard deviation
Exercise price
Stock price
Annual interest rate
Dividend
6 months
56% per year
$55
$55
6%
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.
e.
Value of the
Call Option
Transcribed Image Text:Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend 6 months 56% per year $55 $55 6% 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. e. Value of the Call Option
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