Question

The current stock price of Johnson & Johnson is $50, and the stock does not pay dividends. The instantaneous risk-free rate of return is 3%. The instantaneous standard deviation of J&J's stock is 30%. You want to purchase a put option on this stock with an exercise price of $41 and an expiration date 55 days from now. Using Black-Scholes, the put option should be worth ______ today.

Answer 1

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05:07 C w ? ENG 66 01-08-2020 35 Х BG302 . AV AY AZ BA BB BC BD BE BF. BG BH 284 AW AX VALUE OF PUT OPTION S= 50 285 K= 41 r= 0.03 d ln (S/K) + (r+0.58² (1) 687 o(A) = T = 0.3 0.150685 [55/365] d1 = [In(50/41) + (0.03 +0.5*(0.3)^2)(0.150685)]/(0.3*(SQRT(0.150685)] d1 = 1.8012 o* d2 = 01 - d2 = SQRT(T) 1.6847 NOTE e^(-0.03*0.150685)= 0.995490 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 N(d1) = N(D2) = 0.9642 0.9540 value of Put option VALUE OF PUT OPTION= P= kie ..(-d2) S. N(di) VALUE OF PUT OPTION= VALUE OF PUT OPTION= VALUE OF PUT OPTION= VALUE OF PUT OPTION= 41*e^(-0.03*0.150685)*(1-0.9540) 41*(0.995490)*(1-0.9540) 1.8784 50 *(1-0.9642) 50 *(1-0.9642) 1.7920 0.09 BULL SPREAD BINOMIAL BS gamma call put EXCEL HIG CALL EXCEL RISK NEUTRAL FLORIDA EX OPTI sd=0 COMPENSATION ZEVON S... +