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You have been granted stock options on 300 shares of your employer's stock. The stock is...

You have been granted stock options on 300 shares of your employer's stock. The stock is currently selling for $37.80 and has a standard deviation of 30 percent. The option's strike price is $35 and the time to maturity is 10 years. What is the value of each option given a risk-free rate of 3.0 percent? Assume that no dividends are paid.

$12.95
$14.47
$16.68
$18.39
$20.01
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Answer #1

3 Input Data 4 Stock Price now (P) 5 Exercise Price of Option (EX) 6 Number of periods to Exercise in years (t) 37.8 35 10 0.03 0.3 Compounded Risk-Free Interest Rate (r) 8 | Standard Deviation (annualized ơ) 10 11 Output Data 12 Present Value of Exercise Price (PV(EX)) 5 EXP(C7C6) 14 d1 15 d2 16 Delta N(d1) Normal Cumulative Density Function 17 Bank Loan N(d2)PV(EX) 18 19 Value of Call 20 21 +C14-C13 #NORMDIST(C 14.0.1 ,TRUE) NORMDIST C15,0,1 TRUE C12 -+C16 C4-C17Option D

3 Input Data 4 Stock Price now (P) 5 Exercise Price of Option (EX) 6 Number of periods to Exercise in years (t) 7 Compounded

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