Question

Please find the call and put option prices using the information below. You must show your work to receive credit.

Stock Price=45

Exercise Price=45

Risk-free rate=5%

Time to maturity=6 months

Standard deviation=30%

Answer 1

Call is 4.3357

Put is 3.2246

1 Input Data 2 Stock Price now (P) 3 Exercise Price of Option (EX) 4 Number of periods to Exercise in years (t) 5 Compounded Risk-Free Interest Rate (rf) 6 Standard Deviation (annualized o) 45 0.5 5.00% 30.00% 7 8 43.8889 0.2121 0.2239 0.0118 0.5886 22.1508 9 Output Data 10 Present Value of Exercise Price (PV(EX)) 11 6*1.5 12 d1 13 d2 14 Delta N(d1) Normal Cumulative Density Function 15 Bank Loan N(D2)*PV(EX) 16 17 Intrinsic Value of Call 18 Intrinsic Value of Put 19 20 Time Value of Call 21 Time Value of Put 22 23 Total Value of Call 24 Total Value of Put 0.0000 0.0000 4.3357 3.2246 4.3357 3.2246

B 45 A 1 Input Data 2 Stock Price now (P) 3 Exercise Price of Option (EX) 4 Number of periods to Exercise in years (t) 5 Compounded Risk-Free Interest Rate (rf) 6 Standard Deviation (annualized o) =6/12 0.05 0.3 9 Output Data 10 Present Value of Exercise Price (PV(EX)) 11 6*1.5 12 d1 13 d2 14 Delta N(d1) Normal Cumulative Density Function 15 Bank Loan N(D2)*PV(EX) 16 17 Intrinsic Value of Call 18 Intrinsic Value of Put =++C3*EXP(-C5*C4) =+C6*C4^0.5 =++(LN(C2/C3)+(C5+C6*C6/2)*C4)(C6*C440.5) =+C12-C11 =NORMDIST(C12,0,1,TRUE) =NORMDIST(C13,0,1,TRUE)*C10 =MAX(C2-C3,0) =MAX(C3-C2,0) 19 =C23-C17 =C24-C18 20 Time Value of Call 21 Time Value of Put 22 23 Total Value of Call 24 Total Value of Put =+C14*C2-C15 =+C23+C10-C2