Tutorial+13 - Tutorial 13: Option Valuation and Futures...

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Tutorial 13: Option Valuation and Futures (Introduction) Question   7-10   (from   last   week’s   tutorial   (tutorial   12)   are   questions   on  Option Pricing. Question 11-12 are questions on Futures (Introduction ) 7. Provide a detailed discussion on the six factors that influence the premiums of  European call and put options in the Black-Scholes Model. 8. Use the Black-Scholes formula to find the value of a call option of the  following stock: Time to maturity   = 6 months Standard deviation  = 50% per  year Exercise price  = 50 Stock price  = 50 Interest rate  = 10% p.a. 9. Recalculate the value of the option in question 8, successively substituting  one of the changes below while keeping the other parameters as in question  4: a. Time to maturity   = 3 months b. Standard deviation  = 25% per  year c. Exercise price  = 55 d. Stock price  = 55 e.
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This note was uploaded on 06/01/2011 for the course FIN 3026W taught by Professor Drtoerien during the Summer '09 term at University of Cape Town.

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Tutorial+13 - Tutorial 13: Option Valuation and Futures...

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