Unformatted text preview: Weekly = 52; Daily = 252. Annualized σ = (Monthly σ )* (12) 1/2 = (0.0504)*(3.4641) = 17.46% 9. Assume that you have a call option with a strike (exercise) price of $45, a current stock 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 PV (Exercise) = ($45.00)*e(.04)*(146/365) = $44.29 d 1 = {[ln($52.00/$44.29)] / (.2824)*(146/365) 1/2 } + [(.2824)*(146/365) 1/2 / 2]...
View
Full
Document
This note was uploaded on 07/13/2011 for the course FIN 4414 taught by Professor Staff during the Spring '08 term at University of Florida.
 Spring '08
 Staff
 Options

Click to edit the document details