Black-scholes model-what is the value of call option

Assignment Help Financial Management

Reference no: EM131302888

Black-Scholes Model (LO2, CFA2) What is the value of a call option if the underlying stock price is $84, the strike price is $80, the underlying stock volatility is 42 percent, and the risk-free rate is 4 percent? Assume the option has 135 days to expiration.

Reference no: EM131302888

Questions Cloud

Prepare a streamlined version of the key elements : To feel confident that all of the employees in your strategic planning team understand all that you have taught them, you require each to prepare a streamlined version of the key elements of a strategic plan.

About market decline and wish to hedge the portfolio : You are managing a pension fund with a value of $300 million and a beta of 1.07. You are concerned about a market decline and wish to hedge the portfolio. You have decided to use SPX calls. How many contracts do you need if the delta of the call opti..

What is affirmative-action : What is affirmative-action? Do you believe affirmative action has brought more or less diversity in the workplace? Why or why not?

Why is the ad curve downward sloping : What is aggregate expenditure? Briefly describe each of the four components of aggregate expenditure.- Why is the AD curve downward sloping?

Black-scholes model-what is the value of call option : What is the value of a call option if the underlying stock price is $84, the strike price is $80, the underlying stock volatility is 42 percent, and the risk-free rate is 4 percent? Assume the option has 135 days to expiration.

Increase in the interest rate affect each of the investment : How does an increase in the interest rate affect each of the Investment spending by firms on plant and equipment types of spending on aggregate output?

Using various categories of ratios is highly-prized skill : The ability to analyze financial statements using various categories of ratios is highly-prized skill. Describe in detail what financial statement ratios tell a college business student/employment candidate about the suitability of the organization a..

Self-respecting hard-nosed banker : Why would any self-respecting hard-nosed banker be seen wasting their time on developing the "soft" skills of leadership? Answer should based on the case at https://www.researchgate.net/publication/242686576_Leadership_Development_at_Goldman_Sachs

Discuss factors that impacted the consumer decision process : Discuss a recent purchase (appropriate for class). Was this purchase a functional need or a psychological need? What factors affected the information search? Discuss factors that impacted the consumer decision process. Discuss the postpurchase outcom..

User Account

All Pages