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Problem:
a) Write down and explain the Black-Scholes European call option pricing formula. Discuss how call prices it delivers change with each of the inputs to the calculation.
b) What is the price of a European call option on a non-dividend paying stock when the stock price is $52, the strike price is $50 and the risk-free rate is 12% per annum, the volatility is 30% per annum and the time to maturity is three months?
c) A call option with a strike price of $50 costs $2. A put option with a strike price $45 costs $3. Explain, using an appropriate diagram, how a strangle can be created from these two options. What is the pattern of profits from the strangle?
d) A one month European put option on a non-dividend paying stock is currently selling for $ 2.50. The stock price is $47, the strike price is $50 and the risk free interest rate is 6% per annum. What opportunities are there for an arbitrageur?
essay should be based on one of the problems mentioned into Haberler (1950) with references to the main assumptions of the general equilibrium analysis
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