Find the value of the call option with the same exercise

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Reference no: EM133265541

Use the Black-Scholes Formula to find the value of a call option on the following stock

Time to expiration: 6 months

Standard Deviation: 50% per year

Exercise Price: $50

Stock Price: $50

Interest Rate: 3%

N(d₁) = 0.5868 N(d₂) = 0.4465

Use put-call parity relationship formula to find the value of the call option with the same exercise price and expiration as the put option in Part (a)
Considering a call option that has a delta of 0.75. If the price of the underlying asset decrease by $10, then what is the best estimate of the change in option price?
Considering a put option that has a delta of -0.65. If the price of the underlying asset decreases by $6, then what is the best estimate of the change in option price?
BIC owns 51,750 shares of Smith & Oates. The shares are currently priced at $69. A call option on Smith & Oates with a strike price of $70 is selling at $3.50 and has a delta of .69. What is the number of call options necessary to create a delta-neutral hedge?

Reference no: EM133265541

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