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A stock has a price of $30 and an annual return volatility of 58 percent. The risk-free rate is 3.04 percent. Perform calculations in Excel.
A stock has a price of $30 and an annual return volatility of 58 percent. The risk-free rate is 3.04 percent. Perform calculations in Excel. |
a. | Calculate the call and put option prices with a strike price of $29.5 and a 90-day expiration. (Round your answers to 2 decimal places. Omit the "$" sign in your response.) |
Call premium | $ |
Put premium | $ |
b. | Calculate the deltas of the call and put. (Negative amounts should be indicated by a minus sign. Round your answers to 4 decimal places.) |
Call delta | |
Put delta |
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