Question

Use the Black-Scholes formula to find the value of a call option based on the following inputs. (Round your final answer to 2 decimal places. Do not round intermediate calculations.) $ $ 60 56 7% Stock price Exercise price Interest rate Dividend yield Time to expiration Standard deviation of stock's returns 0.50 26% Call value $0

Answer 1

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1x ur ENG 12:18 D х AQ79 АН Al AJ AK AL AM AN AO AP AQ AR AS Al- 74 75 76 77 DIVIDEND CALL OPTION 78 S= 60 79 K= 56 80 0.07 81 0.04 82 83 0.26 84 0.5 85 en (s14) +(r-f+ost0})t d,= 86 87 88 89 90 91 d1 = (In(60/56) + (0.07 - 0.04+ 0.5*(0.26)^2)(0.5))/(0.5*(SQRT(0.5)) 92 d1 = 0.65757 93 d2 = d1 - o* SQRT(T) 94 95 d2 = 0.47372 96 e^(-0.07* (0.5) = e^(-0.04* (0.5) = N(d1) = 97 0.744593 0.965605 98 N(d2) = 0.682151 0.980199 99 100 FLORIDA sd-0 | COMPENSATION ZEVON Sheel7 | ... DINOMIAL call pul RISK NEUTRAL BS

a 4x E 1x Hu ENG 12:18 E х AQ117 АН Al AJ AK AL AM AN AO AP AQ AR AS Al- 100 101 102 Valne of Call ophon 103 -S(7) C = S. e 104 N(d2) kie iN(al,> 105 106 60 *e^(-0.04*(0.5))*(0.744593) 56*e^(-0.07* (0.5)*(0.682151) 107 VALUE OF CALL OPTION = 108 VALUE OF CALL OPTION = 43.79 36.89 109 VALUE OF CALL OPTION = 6.90 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 sd-0 | COMPENSATION ZEVON Sheel7| .. BINOMIAL BS call pul RISK NEUTRAL FLORIDA