What are the black-scholes prices of the call and the put

Reference no: EM133583634

Discussion Post

Question I. Stock is currently trading at $24.35. Consider call and put options with a strike of $25.00 expiring in 12 trading days (= 0.0476 years). Suppose that the volatility of Microsoft stock is 40% and that the interest rate is 3%. What are the Black-Scholes prices of the call and the put? What are the option deltas?

Question II. GE stock is currently trading at $26.15. A call option with a strike of $25.00 and 12 trading days (= 0.0476 years) to expiry costs $1.56. Assuming an interest rate of 3%, what is the implied volatility?

Reference no: EM133583634

Questions Cloud

Explain two of the four reasons that family, community : Explain two of the four reasons that family, community, and religion are so influential in all cultures. What are stereotypes and how do people acquire them?

Characteristic of decentralized operations : Determine whether each of the following is a characteristic of decentralized operations. Many managers of a company making decisions for their division.

What are the five pillars of the healthcare system : what are the Five Pillars of the Healthcare System

What is one of the biggest challenges for unions : What is one of the biggest challenges for unions posed by the increasing use of part-time and contingent employees?

What are the black-scholes prices of the call and the put : Suppose that the volatility of Microsoft stock is 40% and that the interest rate is 3%. What are the Black-Scholes prices of the call and the put?

Identify the characteristics of phillipe pain by dragging : Identify the characteristics of Phillipe's pain by dragging and dropping the correct responses below. Type of neuropathy: Location: Distribution:

Ethical considerations should be taken into account : Ethical considerations should be taken into account when making this decision, particularly in terms of quality standards and environmental impact?

Prevention of harassment in workplace training : As HR manager, you send an email to employees who need to attend required Prevention of Harassment in the Workplace training.

What is the new call value predicted by the theta : Go back to the original parameters. If the time to maturity falls by 0.01, what is the new call value predicted by the theta?

User Account

All Pages