Practice Problems for Black Scholes For all problems assume 365 calendar days in a year...
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Practice Problems for Black Scholes For all problems assume 365 calendar days in a year and 255 trading days in a year. Also remember to convert standard deviation of daily returns to annualized returns and use the annualized value as the input for . Time is in number of years so divide the number of days to expiration by 365 . 1. Stock ABC is trading for $112. The stock has a standard deviation on a daily basis of 1%. The risk free rate on a continuously compounded basis is 1%. a. What is the price of a call that expires in 164 days and has a strike price of 115 ? b. What is delta of the call option
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