Chapter 8 Problem 8 Build a Model help

Chapter 8 Problem 8 Build a Model help - = r RF = First, we...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Chapter 8 Ch08 P08 Build a Model 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% σ= 50.00% a. Using the Black-Scholes Option Pricing Model, what is the value of the call option? Hint: use the NORMSDIST function. = = Using the formula for option value and the values of N(d) from above, we can find the call option value. = Put option using Black-Scholes modified formula = Put option using put-call parity
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 2
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: = r RF = 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 i the put? A B C D E F G H I 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 is the value of J 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30...
View Full Document

Page1 / 2

Chapter 8 Problem 8 Build a Model help - = r RF = First, we...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online