Question

Use the Black-Scholes formula to find the value of a call option based on the following inputs. (Round your final answer to 2 decimal places. Do not round intermediate calculations.) Stock price Exercise price Interest rate Dividend yield Time to expiration Standard deviation of stock's returns $ 59 $ 56 7% 4% 0.50 28% Call value

Answer 1

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DERIVATIVES BINOMIAL - Microsoft Excel (Product Activation Failed) View Add-Ins File Home Insert Page Layout Formulas Data Review - 2x % Cut Σ AutoSum : A Dr General Calibri -11AA = = = BI U. 3 A * Wrap Text Merge Merge & Center Center SF $ - % % 4:0 .00 8.9 Insert Delete Format Conditional Format Formatting as Table Styles Cell Styles Fill 2 Clear Sort & Filter Editing Find & Select Font Alignment Number Cells ALAJ AK I AL AM AN AO AP AQ AR E Copy Paste Format Painter Clipboard AQ80 AH 76 77 78 79 80 81 DIVIDEND CALL OPTION S= K- r= 59 56 0.07 0.04 is 82 83 84 0.28 0.5 85 86 ln (s/k) + (0-8+ 0.5 (6²) 87 VT 88 89 90 91 d1 = (In(59/56) + (0.07 -0.04+0.5*(0.28)^2)(0.5))/(0.5*(SQRT(0.5)) 0.53935 d1 = 92 93 KOM Red Sheet2 RISK NEUTRAL Sheet3 Sheet4 Sheets Sheet6 Sheet7 BINOMIAL BS ferences BOU 130% -_ O RELEASED* B A .lll + TL 25-11-2019

DERIVATIVES BINOMIAL - Microsoft Excel (Product Activation Failed) View Add-Ins File Home Insert Page Layout Formulas Data Review - 2x % Cut Σ AutoSum : A General Wrap Text Merge Merge & Center Center $ - % % 4:0 .00 8.9 Insert Delete Format Conditional Format Formatting as Table Styles Cell Styles Fill 2 Clear Calibri -11AA = = = Dr BI U. 3 A * SF Font Alignment fax AI AJ AK AL Sort & Filter Editing Find & Select Number E Copy Paste Format Painter Clipboard AQ110 AH Cells AM AN AO AP AQ 20. AR 93 94 95 d2 = d1 - 0* SQRT(T) d2 = 0.34136 96 N(d1) = N(02) = 0.705177 0.633584 e^(-0.07*(0.5) = e^(-0.04*(0.5) = 0.965605 0.980199 97 98 99 100 101 102 103 option Value of call -SCT) c= s. e N ماس 104 105 (d,) - kie. N(dz) 106 107 108 VALUE OF CALL OPTION = VALUE OF CALL OPTION= VALUE OF CALL OPTION = 59 *e^(-0.04*(0.5))*(0.415510) 40.78 6.52 56*e^(-0.07*(0.5)*(0.633584) 34.26 109 110 111 Sheet2 RISK NEUTRAL Sheet3 Sheet4 Sheets Sheet6 Sheet7 K Rea BINOMIAL BS ferences 1 BOU 130% -_ O D. RO 9 * 10 ENG 25-11-2019