Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Oct 06, 2024

A stock trades for $47 per share. A call option on that stock has a strike price of $52 and an expiration date six months

A stock trades for $47 per share. A call option on that stock has a strike price of $52 and an expiration date six months in the future. The volatility of the stock's returns is 37%, and the risk-free rate is 2%.

What is the Black and Scholes value of this option?

The Black and Scholes value of this call option is $

(Round to the nearest cent.)

Step by Step Solution

There are 3 Steps involved in it

Step: 1

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

Step: 3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Finance And Sustainability Proceedings From The Finance And Sustainability Conference Wroclaw 2017

Authors: Agnieszka Bem, Karolina Daszy?ska-?ygad?o , Ta?ána Hajdíková, Péter Juhász

1st Edition

3319922270,3319922289

More Books

Students also viewed these Finance questions

Question

★★★★★

Write down expressions for the electric and magnetic fields of a sinusoidal plane electromagnetic wave having a frequency of 3.00 GHz and traveling in the positive x direction. The amplitude of the...

Answered: 1 week ago

Question

★★★★★

GTB, Inc., has a 20 percent tax rate and has $71,580,000 in assets, currently financed entirely with equity. Equity is worth $5 per share, and book value of equity is equal to market value of equity....

Answered: 1 week ago

Question

★★★★★

=+pollution in 1995 for the two plants. Which plant was required

Answered: 1 week ago

Question

★★★★★

Thomas More Company incurred the following costs during the current year in connection with its research and development activities. Cost of equipment acquired that will have alternative uses in...

Answered: 1 week ago

Question

★★★★★

Your firm is looking a buying a privately owned competitor. You estimate the price/share at $71.26. The firm has $593,700 million in debt, $51,414 in preferred shares and no other obligations. There...

Answered: 1 week ago

Question

★★★★★

Problem 13-24 Analyzing a Portfolio (LO2) You want to create a portfolio equally as risky as the market, and you have $1,000,000 to invest. Given this information, fill in the rest of the following...

Answered: 1 week ago

Question

★★★★★

Number of dogs encounters per day, the number of customers entering a store per hour, the number of bacteria per liter of water, etc. are classically modelled using the Poisson distribution. With an...

Answered: 1 week ago

Question

★★★★★

Empire College London BTEC (RQF) Assignment Brief HNC in Business & HND in BUSINESS (Business Management) Unit 25: Global Business Environment Assignment Brief 2 Student Name/ID Number Unit Number...

Answered: 1 week ago

Question

★★★★★

State Prob(State) Stock A Stock B Boom 15% 0.22 -0.12 Normal 50% 0.07 0.15 Bust 35% -0.09 0.06 Suppose you invest $20,000 into stock A, and $15,000 into stock B: 1.Calculate the weight of A in the...

Answered: 1 week ago

Question

★★★★★

Big Red Motors, Inc., employs 15 sales personnel to market its line of luxury automobiles. The average car sells for $75,000, and a 6 percent commission is paid to the salesperson. Big Red Motors is...

Answered: 1 week ago

Question

★★★★★

Y The National Ne Oeath Ding A Be04% And 2.3% Sppos According To A Hudy Publihe Intercourse Condom Breakag That The Breatage Ale Of B Contains 12 Endoms What Eprobbity Tha At East One Of The Condoms...

Answered: 1 week ago

Previous Question Next Question