Use black scholes option pricing model to estimate value

Assignment Help Financial Management

Reference no: EM131334869

1. Take the virtual tour of the Chicago Board Options Exchange at the following Web site. Then describe in a 1-page memo, for someone who has never visited an options exchange, what you "saw." (https://www.cboe.com)

2. Targezept Bionics, Inc., has a common stock outstanding that sells for $21 per share. A call option on the stock has an exercise price of $20 and will expire in three months.

Based on an analysis of the stock's past volatility, you have estimated the standard deviation of returns to be 0.6. The short-term interest rate is now 5 percent and you expect that to remain constant over the next six months. Use the Black-Scholes option pricing model to estimate the value of this option.

Reference no: EM131334869

Questions Cloud

What is the real exchange rate : In the United Stats, a three-pound can of coffee costs $5. If the exchange rate is 0.6 euros per dollar and three-pound can of coffee in Belgium costs t 4 euros. What is the real exchange rate? (please show work)

Compute the conversion value of each of these debentures : Compute the straight bond value of each of these debentures.- Compute the conversion value of each of these debentures.

Prepare a report summarizing investment accounting policies : Kusak Limited?MIL owns a $500,000, 10-year bond issued by Kusak Limited. Prepare a report summarizing investment accounting policies as they apply to MIL's investments.

What is currency overshooting : What is currency overshooting? Using an example of a permanent decrease in money supply, explain with the help of graphs, how the money market and forex market respond to the change in the short run and in the long run.

Use black scholes option pricing model to estimate value : The short-term interest rate is now 5 percent and you expect that to remain constant over the next six months. Use the Black-Scholes option pricing model to estimate the value of this option.

Find the distance in millimeters between the plates : The dielectric is mica. Assume a linear relationship between the breakdown strength and the thickness of the dielectric.

Determine net present value of refunding the old bond issue : The company's treasurer feels that the decline in interest rates has bottomed out. Determine the net present value of refunding the old bond issue.

What were companys noncurrent liabilities for fiscal year : What were the company's noncurrent liabilities for the fiscal year? What was the company's current ratio for the fiscal year? For the fiscal year, did the company have a cash inflow or outflow from investing activities? How much?

Impetus for the change in regime for country : Select a country which now has a floating or a pegged exchange rate. Prior to its present regime, did this particular country have another regime, or the gold standard? What was the impetus for the change in regime for this country? Support your ..

User Account

All Pages