Unformatted text preview: price of $52, 146 days until expiration, and an annualized standard deviation of 28.24%. Assuming a riskfree rate of 4.00 percent, and using the cumulative probability tables provided at the end of this exam, determine the price of this call option using the BlackScholes Option Pricing Formula. (Take all preliminary numbers out to 9 decimal places.) A. $10.85 B. $ 3.07 C. $12.36 D. $ 8.59 E. $ 5.92 10. Assume that you have a call option with a strike (exercise) price of $30, a current stock price of $32, 73 days until expiration, and an annualized standard deviation of 32.42%. Assuming a riskfree rate of 4.00 percent, you can calculate that the price of this call options is equal to $3.07. Given this information, calculate the price of an equivalent put option (same parameters). (Take all preliminary numbers out to 9 decimal places.) A. $0.92 B. $1.04 C. $0.83 D. $0.88 E. $0.97...
View
Full Document
 Spring '08
 Staff
 Standard Deviation, Interest, Interest Rate, Options, Strike price, annualized standard deviation

Click to edit the document details