Question

Use the Black-Scholes formula for the following stock: Time to expiration Standard deviation Exercise price Stock price Annual interest rate Dividend 6 months 49% per year $60 $58 58 Calculate the value of a put option. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of a put option

Answer 1

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Hºte, W (2 v x B: ENG 01:54 01-02-2020 24 BA140 - AV X Vfx AW AX AY AZ BA BB BC BD BE BF BG BH 140 141 142 143 58 144 145 146 147 60 VALUE OF PUT OPTION S= K= r = 0.05 o(A) = 0.49 T= 0.5 (6/12] d. ln (5/6) + (rto.5o² (7) 148 149 150 151 152 d1 = [In(58/60) + (0.05 +0.5*(0.49)^2)(0.5))/(0.49*(SQRT(0.5)] d1 = 0.14755 153 154 d2 = d1 - 0* SQRT(T) d2 = -0.1989 155 156 157 Nd1) = N(D2) = 0.558651 0.421158 NOTE e^(-0.05*0.5)= 0.975310 158 159 160 161 ... BINOMIAL BS call put RISK NEUTRAL FLORIDA sd=0 COMPENSATION ZEVON Sheet ... :

Hºte, W (2 v x B: ENG 01:55 01-02-2020 24 BA181 AV AW AX AY AZ BA BB BC BD BE BE BG BH - 2 160 161 162 VALUE OF PUT OPTION= value of Put option 163 164 165 S. N(4) 166 167 168 169 P = Koe n(dz) - 60*e^(-0.05*0.5)*(1-0.421158) 60*(0.975310)*(1-0.421158) 33.87 8.27 VALUE OF PUT OPTION= VALUE OF PUT OPTION= VALUE OF PUT OPTION= VALUE OF PUT OPTION= - 58 *(1-0.558651) 58 *(1-0.558651) 25.60 170 171 172 173 174 175 176 177 178 179 180 181 ... BINOMIAL BS call put RISK NEUTRAL FLORIDA sd=0 COMPENSATION ZEVON Sheet ... :