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Buffelhead's stock price is $202 and could halve or double in each six-month period (equivalent to a standard deviation of 95%). A one-year call option
Buffelhead's stock price is $202 and could halve or double in each six-month period (equivalent to a standard deviation of 95%). A one-year call option on Buffelhead has an exercise price of $186. The interest rate is 18% a year. a. What is the value of the Buffelhead call? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of call $ b-1. Now calculate the option delta for the second six months if the stock price rises to $404. (Round your answer to 2 decimal places.) Delta $ b-2. Now calculate the option delta for the second six months if the stock price falls to $101.00. (Round your answer to 2 decimal places.) Delta $ Buffelhead's stock price is $202 and could halve or double in each six-month period (equivalent to a standard deviation of 95%). A one-year call option on Buffelhead has an exercise price of $186. The interest rate is 18% a year. a. What is the value of the Buffelhead call? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Value of call $ b-1. Now calculate the option delta for the second six months if the stock price rises to $404. (Round your answer to 2 decimal places.) Delta $ b-2. Now calculate the option delta for the second six months if the stock price falls to $101.00. (Round your answer to 2 decimal places.) Delta $
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