User Account

All Pages

Black-scholes option valuation formula

Assignment Help Finance Basics
Reference no: EM131228175

Using the Black-Scholes option valuation formula, compute the price of a Marathon Oil (MRO) call option with 4 months to expiration that has a strike price of 45. Assume the current stock price is 48, the T-bill yield is 4.5%, and the volatility of MRO is 30%.

Reference no: EM131228175

Questions Cloud

Margin account to prevent liquidation : If you bought one contract at 11,400 using the minimum initial margin and the price dropped 11,250 on an active trading day, compute the daily percentage profit or loss in your margin account. How much must be deposited in your margin account to p..
Describe activities that should be implemented to address : Describe the activities that should be implemented to address the missing elements. Describe where these activities would be added to the list (relative to the other activities already listed).
Compute your profit or loss : On the CBOT one Gold futures contract trades in units of 100 ounces of gold. Suppose you bought one contract at $500/ounce and sold as the price spiked to $510/ounce. Compute your profit or loss.
Why are the following business processes important : Ethical behavior is a corporate issue that affects the company's bottom line. How do ethical issues impact organizations and operations? Include an example seen in the workplace, in the news, etc. that relates to real-life situations. Your initia..
Black-scholes option valuation formula : Using the Black-Scholes option valuation formula, compute the price of a Marathon Oil (MRO) call option with 4 months to expiration that has a strike price of 45. Assume the current stock price is 48, the T-bill yield is 4.5%, and the volatility o..
Maximum potential profit and loss : Suppose Coca-Cola Co. (KO) is trading at $54 and you buy one Aug55 put for $2.55 and sell one Aug50 put for $0.85. Calculate your maximum potential profit and loss. Is this a bearish or bullish position?
Graph the profit picture of straddle position : Assume an investor establishes a straddle position on Chevron Corp. (CVX) by buying a December 95 call priced at 1.50 and simultaneously buying a December 95 put priced at 3.50. Graph the profit picture of this straddle position.
Loss on the trade before commissions and taxes : Assume an option trader bought 10 July 25 calls on General Electric Co. (GE) for 1.35. If the stock closed at 28 on expiration and the option position was liquidated, calculate the dollar amount of profit or loss on the trade before commissions an..
Better off in tax saving : Which option should she choose? By how much is she better off in tax saving?

Reviews

Write a Review

Finance Basics Questions & Answers

  Byters on call provides computer repairs on-site and has a

byters on call provides computer repairs on-site and has a contribution margin ratio of 32 a contribution margin per

  Construct a portfolio to provide for returns

You have received $1 million from your uncle's estate and have been provided the opportunity to invest in stocks or bonds.

  Create a skew normal distribution in excel

Use the density method approach to create a skew normal distribution in Excel.

  Lower bound for the price of a two-year european call

What to the nearest cent, is the lower bound for the price of a two-year European call option on a stock when the stock price

  Determine effective borrowing rate

Determine effective borrowing rate for a 1-year line of credit, if the total credit line = $3,000,000, average loan outstanding = $1,400,000, commitment fee = 0.5 percent on the unused portion,

  What is the portfolio weight of stock a

You own a portfolio that consists of $8,000 in stock A, $4,600 in stock B, $13,000 in stock C, and $5,500 in stock D. What is the portfolio weight of stock A? 14.79 percent 15.91 percent 18.42 percent 19.07 percent 25.72 percent

  Find the npv and pi of a project

Find the NPV and PI of a project that costs $1500 and returns $800 in one year and $850 in year two. Assume the project's cost of capital is 8%.

  Large industrial construction organization

Kathy is a project manager for a large industrial construction organization. Our case study as indicated that she is very organized and a highly self-motivated individual. What type of traits what an individual possesses who was highly motivated?

  Confu inc expects to have the following data during the

confu inc. expects to have the following data during the coming year. what is the firms expected roe?assets

  What the different statistics of the summary output mean

Analyze the attached data and develop a model that predicts math scores from other scores. Use regression analysis in excel and summarize what the different statistics of the summary output mean.

  What was the expected level of inflation

The risk-free rate on T-bills recently was 1.23%. If the real rate of interest is estimated to be 0.80%, what was the expected level of inflation?

  Nole stock with a strike price

Three months ago, you purchased a put option on Nole stock with a strike price of $60 and an option price of $1.02. The option expires today when the value of Nole stock is $62.79

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +1-415-670-9521

Phone: +1-415-670-9521

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd