Find the Black-Scholes value of a put option on the stock in the previous problem with the same exercise price and expiration as the call option.
Previous problem. Use the Black-Scholes formula to find the value of a call option on the following stock:
Time to expiration = 6 months
Standard deviation = 50% per year
Exercise price = $50
Stock price = $50
Interest rate = 3%
The Black-Scholes Formula
Financial economists searched for years for a workable option-pricing model before Black and Scholes (1973) and Merton (1973) derived a formula for the value of a call option. Now widely used by options market participants, the Black-Scholes pricing formula for a European-style call option is
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