Black-scholes option pricing model

Assignment Help Financial Management

Reference no: EM131900621

What is the value of a 9-month call with a strike price of $45 given the Black-Scholes option pricing model and the following information?

Stock price $47

Risk-free rate 5 percent

Standard deviation 49 percent

N(d1) .656533

N(d2) .491490

1. $33.47

2. $13.69

3.$22.82

4.$9.55

5. $39.56

Reference no: EM131900621

Questions Cloud

What is the value of a call option on one share of stock : what is the value of a call option on one share of this stock? Under risk neutrality, the expected return on an asset will equal:

Input for the black scholes option pricing model : Which one of the following is not included as an input for the Black Scholes option pricing model?

Company with single year of contracts for services : Slick Support, Inc. is an oilfield service company with a single year of contracts for services, to be paid in arrears.

Case study-behemoth corporation : Behemoth had an outstanding benefits plan and he was eligible to participate in the company's 401(k) in June of 2001

Black-scholes option pricing model : What is the value of a 9-month call with a strike price of $45 given the Black-Scholes option pricing model and the following information?

Major function of investment banking : Which of the following Is not a major function of investment banking?

Net present value analysis frequently ignores : Investment banks are heavily involved in the origination process for all but which of the following? Net present value analysis frequently ignores:

Types of securities-treasury bills and corporate paper : An investor seeks to create a portfolio from three types of securities: Treasury Bills (T), Corporate Paper (C), and Junk Bonds (J).

According to straight-line method over its four-year life : Gemini, Inc., all-equity firm, is considering investment of $1.67 million that will be depreciated according to straight-line method over its four-year life.

User Account

All Pages