Question
A call option on AMZN exists with the following characteristics: - 1/21/22 expiration from today (12/8/21) - Current stock price is $3505.49 - Exercise price
A call option on AMZN exists with the following characteristics:
- 1/21/22 expiration from today (12/8/21)
- Current stock price is $3505.49
- Exercise price is $3510
- interest rate is 2.5%
- stocks volatility is 35%.
a. Find the call option price using Black-Scholes model.
b. Make a table showing the options price using BS model and intrinsic value for stock prices range from $215, $220 .... $255, $260, $265, etc.
c. Create a graph of the data table you created in b.
d. Do a search for this option online and compare to your calculation. Is your option calculation similar to the actual price? Why or why not?
e. How much would a straddle on this option cost? (assume same variables in original problem for both options and show your work!)
PLEASE SOLVE IN EXCEL AND USE FORMULA TEXT
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