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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.)
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 68.10 534 195.85Step by Step Solution
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