Question
Assuming Google's stock has an implied volatility of 26.60%, use the Black-Scholes option pricing formula and the market data in the table below along with
Assuming Google's stock has an implied volatility of 26.60%, use the Black-Scholes option pricing formula and the market data in the table below along with a risk-free rate of 0.24% per annum, to calculate the value of the 800 January 2014 call call option. Use a 365-day year.
Calls | bid | ask | open int |
14 Jan 300 | 402.9 | 405.9 | 4 |
14 Jan 350 | 355.3 | 358 | 34 |
14 Jan 400 | 308.2 | 311.6 | 471 |
14 Jan 450 | 263 | 266.5 | 25 |
14 Jan 500 | 220.2 | 223.9 | 229 |
14 Jan 550 | 181 | 184.7 | 122 |
14 Jan 600 | 145.2 | 148.6 | 303 |
14 Jan 650 | 114.3 | 117.3 | 292 |
14 Jan 660 | 108.5 | 111.6 | 63 |
14 Jan 680 | 97.8 | 101.7 | 91 |
14 Jan 700 | 87.6 | 91 | 508 |
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Financial Reporting And Analysis
Authors: Lawrence Revsine, Daniel Collins, Bruce Johnson, Fred Mittelstaedt, Leonard Soffer
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