Find the value of a call option based on the inputs

Assignment Help Financial Management

Reference no: EM132036254

Question

Use Black-Scholes model to price a European call option

Use the Black-Scholes formula to find the value of a call option based on the following inputs. [Hint: to find N(d1) and N(d2), use Excel normsdist function.] (Round your final answer to 2 decimal places. Do not round intermediate calculations.)


Stock price	$	54
Exercise price	$	63
Interest rate		0.08
Dividend yield		0.04
Time to expiration		0.50
Standard deviation of stock's returns		0.26

Call value $__________

Reference no: EM132036254

Questions Cloud

Introduction to nietzsche : Nietzsche may seem as though he makes outlandish claims: all philosophy is autobiographical, relativism in ethics, purpose is a created concept, etc.

Is there a triangular arbitrage opportunity : If there is a triangular arbitrage opportunity, how can you earn arbitrage profit from the above exchange rates with $1,000,000?

Conduct an interview with a local business owner : What are the most valuable things you learned about effective innovation architecture - How might you apply what you learned in your interview

What does it mean that existence precedes essence : What does it mean that existence precedes essence, and how does this formula bear on our understanding of human nature?

Find the value of a call option based on the inputs : Use the Black-Scholes formula to find the value of a call option based on the following inputs.

Estimate the market value of the bond portfolio four years : Ash expects that in four years, investors in the market will require an 8 percent return on the zero-coupon bonds.

Two claims compatible : "Material things, including one's own body are completely subject to physical laws." "The immaterial mind can move one's body." Are these two claims compatible?

What us the value of a bond that has a par value : What us the value of a bond that has a par value of $1,000, a coupon rate of 7.99 percent (paid annually), and that matures in 19 years?

What is the default risk premium on the corporate bond : Assume the both rate bond is 0.5%. What is the default risk premium on the corporate bond?

User Account

All Pages