Answer below, along with the excel workings and formulae:
Black Scholes Model: | |
Stock | 48 |
Strike | 50 |
Volatility | 25% |
Risk Free Rate | 8% |
Term | 0.5000 |
Dividend Yield | 0% |
Calculation of: | |
d1 | 0.0837 |
d2 | -0.0930 |
N(d1) | 0.5334 |
N(d2) | 0.4629 |
Call Option | 3.3624 |
Put | 3.4019 |
SHOW FORMULA:
1 | B | C |
2 | Black Scholes Model: | |
3 | Stock | 48 |
4 | Strike | 50 |
5 | Volatility | 0.25 |
6 | Risk Free Rate | 0.08 |
7 | Term | =6/12 |
8 | Dividend Yield | 0 |
9 | ||
10 | Calculation of: | |
11 | d1 | =(LN(C3/C4)+(C6-C8+C5^2/2)*C7)/(C5*SQRT(C7)) |
12 | d2 | =C11-(C5*SQRT(C7)) |
13 | ||
14 | N(d1) | =NORMSDIST(C11) |
15 | N(d2) | =NORMSDIST(C12) |
16 | ||
17 | Call Option | =C3*NORMSDIST(C11)-C4*EXP(-C6*C7)*NORMSDIST(C12) |
18 | Put | =C4*EXP(-C6*C7)*NORMSDIST(-C12)-C3*NORMSDIST(-C11) |
Suppose a zero dividend payment stock is selling for K48 per share. The standard deviation of...
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