Question
A stock has a price of $33 and an annual return volatility of 46 percent. The risk-free rate is 3.01 percent. Perform calculations in Excel.
A stock has a price of $33 and an annual return volatility of 46 percent. The risk-free rate is 3.01 percent. Perform calculations in Excel.
a. Calculate the European call and European put option prices with a strike price of $32.00 and a 90-day expiration. (Use 365 days in a year. Do not round intermediate calculations. Round your answers to 2 decimal places.)
Call Premium:_________
Put Premium:__________
b. Calculate the deltas of the European call and European put. (Use 365 days in a year. A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places.)
Call delta:______
Put delta:_______
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