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Build a Black-Scholes option pricing calculator and use it to price a call option on Meta Platforms (FB) stock with a strike of $305, expiring
Build a Black-Scholes option pricing calculator and use it to price a call option on Meta
Platforms (FB) stock with a strike of $305, expiring on March 18, 2022. Use implied volatility
of 35%, a current stock price of $310, a current date of 12/06/2021 and a risk-free rate of
.05% to show the Black-Scholes option price is approximately $25.70. Use data tables to
compute the delta, vega, and theta of this call option and answer the following questions:
1) If the FB stock price increases by $1, how will the value of the call option change? How do call option prices respond to changes in time to expiry, volatility, and strike price? Explain your answers.
2) What is the corresponding put option price? How do put option prices respond to
changes in the current stock price, time to expiry, volatility, and strike price? Explain your
responses.
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