Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

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 0.25% per annum, to calculate the value of the 800 January 2014 call call option. Use a 365-day year.

The value of the 800 January 2014 call option is $_____________(Round to the nearestcent.)

image text in transcribed GooG(GOOGLE INC) 700.77 -5.38 Calls Bid Ask Open Int 14 Jan 300.00 (GOOG1418A300-E) 402.90 405.90 4 14 Jan 350.00 (GOOG1418A350-E) 355.30 358.00 34 14 Jan 400.00 (GOOG1418A400-E) 308.20 311.60 471 14 Jan 450.00 (GOOG1418A450-E) 263.00 266.50 25 14 Jan 500.00 (GOOG1418A500-E) 220.20 223.90 229 14 Jan 550.00 (GOOG1418A550-E) 181.00 184.70 122 14 Jan 600.00 (GOOG1418A600-E) 145.20 148.60 303 14 Jan 650.00 (GOOG1418A650-E) 114.30 117.30 292 14 Jan 660.00 (GOOG1418A660-E) 108.50 111.60 63 14 Jan 680.00 (GOOG1418A680-E) 97.80 101.70 91 14 Jan 700.00 (GOOG1418A700-E) 87.60 91.00 508 14 Jan 750.00 (GOOG1418A750-E) 66.20 68.10 534 195.85

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

Introduction To Finance Markets, Investments, And Financial Management

Authors: Ronald W. Melicher, Edgar A. Norton

17th Edition

1119561175, 978-1119561170

More Books

Students also viewed these Finance questions

Question

What is a trial balance and what purpose does it serve?

Answered: 1 week ago

Question

1. What is the meaning of the information we are collecting?

Answered: 1 week ago

Question

3. How much information do we need to collect?

Answered: 1 week ago

Question

2. What types of information are we collecting?

Answered: 1 week ago