a. What is the Black-Scholes value of a one-year, at-the-money call option on Taggart.

b. What is the Black-Scholes value of a one-year call option on Taggart stock with a stock price of $50?

c. What is the Black-Scholes value of a one-year European put option on Taggart stock strike price of $50?

Use the following information to answer the question(s) above; please use a copy of cumulative probabilities for the standard normal distribution for these problems.

Taggart Transcontinental’s stock has a volatility of 25% and a current stock price of $40 per share. Taggart pays no dividends. The risk-free interest rate is 4%.

 

 

Answer rating: 100% (QA)

BlackScholes Calculations for Taggart Options a Oneyear atthemoney call option Stock price S 40 Stri... View the full answer