View the step-by-step solution to: what is the solution to Chapter 8. Ch08. P08 Build a Model. Im

what is the solution to Chapter 8. Ch08....
This question was answered on Oct 19, 2012. View the Answer
what is the solution to Chapter 8. Ch08. P08 Build a Model. Im not sure what excel formulas to use to solve the problem
Week 7 Build a Model.xlsx

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
31

A
Fall 1, 2012

B

C

D

E

F

G

H

I

J

K

L

M

N

O

P

Q

R

S

T
7/22/2012

Chapter 8. Ch 08 P08 Build a Model
Except for charts and answers that must be written, only Excel formulas that use cell references or functions will be accepted for credit.
Numeric answers in cells will not be accepted.
You have been given the following information on a call option on the stock of Puckett Industries:
P=

$65

t=
σ=

0.5
50.00%

X=
rRF =

$70
4%

a. Using the Black-Scholes Option Pricing Model, what is the value of the call option?
First, we will use formulas from the text to solve for d1 and d2.
Hint: use the NORMSDIST function.
(d1)

=

N(d1) =

(d2)

=

N(d2) =

Using the formula for option value and the values of N(d) from above, we can find the call option value.
VC

=

b. Suppose there is a put option on Puckett's stock with exactly the same inputs as the call option. What is the value of
the put?
Put option using Black-Scholes modified formula

=

Put option using put-call parity

=

View the entire interaction

Hi Please find the solutio... View the full answer

8383063.xls

Fall 1, 2012

Chapter 8. Ch 08 P08 Build a Model
Except for charts and answers that must be written, only Excel formulas that use cell references or functions will be accepted for credit.
Numeric...

Why Join Course Hero?

Course Hero has all the homework and study help you need to succeed! We’ve got course-specific notes, study guides, and practice tests along with expert tutors and customizable flashcards—available anywhere, anytime.

-

Educational Resources
  • -

    Study Documents

    Find the best study resources around, tagged to your specific courses. Share your own to gain free Course Hero access or to earn money with our Marketplace.

    Browse Documents
  • 890,990,898

    Question & Answers

    Get one-on-one homework help from our expert tutors—available online 24/7. Ask your own questions or browse existing Q&A threads. Satisfaction guaranteed!

    Ask a Question
  • 890,990,898

    Flashcards

    Browse existing sets or create your own using our digital flashcard system. A simple yet effective studying tool to help you earn the grade that you want!

    Browse Flashcards