Options Problems0 - OptionsProblems BlackScholes1 ABCstocksellsfor$48.Therearenodividends planned ($10,000face)sellsfor $9,897.35 is4.1603

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Black-Scholes 1 ABC stock sells for $48.  There are no dividends  planned. The current 90-day T-Bill ($10,000 face) sells for  $9,897.35.   The weekly price history over the previous year  indicates that the standard deviation of weekly returns  is 4.1603%. ABC’s beta is 1.10. Assume 365 days/year and 52 weeks/year. What’s the value of a 90-day European call option with a  strike of $45? If the stock price increases by $1 overnight, by how much  will the call price change?  (Hint: use the option’s delta)
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Black-Scholes 2 ABC stock sells for $48.  There are no  dividends planned. The current 90-day T-Bill ($10,000 face) sells  for $9,897.35.   The weekly price history over the previous  year indicates that the standard deviation of  weekly returns is 4.1603%. ABC’s beta is 1.10.
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This note was uploaded on 12/03/2009 for the course FIN 4504 taught by Professor Banko during the Fall '08 term at University of Florida.

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Options Problems0 - OptionsProblems BlackScholes1 ABCstocksellsfor$48.Therearenodividends planned ($10,000face)sellsfor $9,897.35 is4.1603

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