Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Annual interest rate Stock price Dividend 6 months 57% per year $44 $44 2% 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 $49 $49 4% Select each scenario independently. Note: Round your answers to 2 decimal places. a. b. C. d. e. Value of the Call Option

Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Annual interest rate Stock price Dividend 6 months 57% per year $44 $44 2% 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 $49 $49 4% 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 6 months 46% per year $48 Stock price $48 Annual interest rate 6% 0 Dividend Recalculate the value of the call with the following changes: a. Time to expiration b. Standard deviation 3 months 30% per year c. Exercise price d. Stock price e. Interest rate $56 $56 8% L Select each scenario independently. Note: Round your answers to 2 decimal places. Value of the Call Option a. C falls to b. C falls to c. C falls to d. Crises to e. Crises to
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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