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Unformatted text preview: 30.00% (in %) Are any dividends expected during the option's lifetime? Yes (Yes or No) If yes, enter the number of dividends expected 1 (in #) (Maximum=4) Enter the expected value and time till each dividend payments Dividend # Expected $ Time until DPS payment (in days) 1 $1.10 45 Inputs on the option Enter the strike price of the option $110.00 (in currency) Enter the time to expiration on the option (in days) 52 (in days) General Inputs Enter the annualized riskless rate corresponding to option lifetime 8.00% (in %) VALUING A LISTED OPTION Stock Price= $112.50 Interest rate= 8.00% Strike Price= $110.00 Variance= 0.09 Expiration (as fraction of yr) = 0.1424657534 PV of Expected Dividend= $1.09 d1 = 0.269781598 N(d1) = 0.60633586 This is the option delta d2 = 0.15654769 N(d2)= 0.562199334 Value of the call = $6.41 Value of the put= Call - Stock Price + K e (-rt) = $3.75...
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This note was uploaded on 01/29/2012 for the course FIN 6000 taught by Professor Banko during the Fall '11 term at University of Florida.
- Fall '11