Question

P21-11 (similar to) Question Help Roslin Robotics stock has a volatility of 26% and a current stock price of $49 per share. Roslin pays no dividends. The risk-free interest is 5%. Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock. The Black-Scholes value of a one-year, at-the-money call option on Roslin stock is $. (Round to the nearest cent.)

Answer 1

Value of call is 6.2301

B. _ C 5.00% 26.00% А 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) 7 8 9 Output Data 10 Present Value of Exercise Price (PV(EX)) 11 o*.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 46.6102 0.2600 0.3223 0.0623 0.6264 24.4630 0.0000 0.0000 19 20 Time Value of Call 21 Time Value of Put 6.2301 3.8404 23 Total Value of Call 24 Total Value of Put 6.2301 3.8404 25

с 49 49 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) 7 0.05 0.26 8 9 Output Data 10 Present Value of Exercise Price (PV(EX)) 11 6*.5 12 d1 13 d2 14 Delta N(D1) Normal Cumulative Density Function 15 Bank Loan N(D2)*PV(EX) =++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 16 17 Intrinsic Value of Call 18 Intrinsic Value of Put =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 25