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# Ch 8 - = \$7.803 Put option using Black-Scholes modified...

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Chapter 8 You have been given the following information on a call option on the stock of Puckett Industries: P = \$65 X = \$70 t = 0.5 5% 0.98 σ= 50.00% 0.98 a. Using the Black-Scholes Option Pricing Model, what is the value of the call option? Hint: use the NORMSDIST function. = 0.038 0.52 = -0.316 0.38 Using the formula for option value and the values of N(d) from above, we can find the call option value.
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Unformatted text preview: = \$7.803 Put option using Black-Scholes modified formula = \$11.075 Put option using put-call parity = \$11.075 r RF = e-rRFt = First, we will use formulas from the text to solve for d 1 and d 2 . (d 1 ) N(d 1 ) = (d 2 ) N(d 2 ) = V C b. Suppose there is a put option on Puckett's stock with exactly the same inputs as the call option. What is the value of the put?...
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