Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Assume the above information, and that the variance of MSFT is .30, the risk-free rate is 1%, and time= 0.18 year, what is the price

Assume the above information, and that the variance of MSFT is .30, the risk-free rate is 1%, and time= 0.18 year, what is the price of a $240 exercise price Call according to Black/Scholes?

image text in transcribed

Calls Fri Jul 16 2021 A Puts Last Net Bid Ask Vol IV Delta Gamma Int Strike Last Net Bid Ask Vol IV Delta Gamma Int 17.7 -0.275 17.15 18.1 221 0.24 0.68 0.01 13715 5.8 +0.15 5.45 6.1 530 0.24 -0.31 0.01 3820 14.29 -0.36 13.8 14.7 142 0.23 0.62 0.01 1488 7.47 +0.22 6.95 7.85 93 0.23 -0.38 0.01 2396 11.2 -0.45 10.9 11.9 552 0.23 0.55 0.01 2997 MSFT 240.000 MSFT 245.000 MSFT 250.000 MSFT 255.000 MSFT 260.000 9.75 +0.4 9.1 10.15 1,789 0.23 -0.45 0.02 6172 8.7 -0.4 8.7 9.1 1,280 0.23 0.47 0.02 4889 12 +0.2 11.4 12.3 205 0.22 -0.53 0.02 1378 6.8 -0.2 6.2 7.35 488 0.22 0.39 0.01 14011 15.18 +0.555 14.5 16.6 34 0.23 -0.6 0.01 5548 4.98 -0.27 4.8 5.15 4,318 0.22 0.32 0.01 12265 MSFT 265.000 18.5 +0.6 17.9 20.1 1 0.24 -0.66 0.01 610

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

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

Step: 2

blur-text-image

Step: 3

blur-text-image

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

Consolidation In The European Financial Industry

Authors: R. Bottiglia, E. Gualandri , G. Mazzocco

1st Edition

0230233228,0230275028

More Books

Students also viewed these Finance questions

Question

Explain strong and weak atoms with examples.

Answered: 1 week ago

Question

Explain the alkaline nature of aqueous solution of making soda.

Answered: 1 week ago

Question

Comment on the pH value of lattice solutions of salts.

Answered: 1 week ago