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suppose the standard deviation of a stocks return is 25% per year and the riskless return...

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Finance

suppose the standard deviation of a stocks return is 25% peryear and the riskless return is 10% APR.Answer the below questionsusing the Black -Scholas OPM. A. What is a 6 month call option onthis stock worth if the strick price is $90 and the stock priceis(Po)is currently at$104? B.what is the exercise value and thetime premiumof this optrion? C.Everything else being equal,what isthe value of a 6 month put option on the common stock?Use call- putparity.

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4.5 Ratings (753 Votes)
a As per Black Scholes Model Value of call option SNd1Nd2Krrt Where S Current price 104 t time to expiry 05 K Strike price 90 r    See Answer
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suppose the standard deviation of a stocks return is 25% peryear and the riskless return is 10% APR.Answer the below questionsusing the Black -Scholas OPM. A. What is a 6 month call option onthis stock worth if the strick price is $90 and the stock priceis(Po)is currently at$104? B.what is the exercise value and thetime premiumof this optrion? C.Everything else being equal,what isthe value of a 6 month put option on the common stock?Use call- putparity.

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