Ch$\mathrm{.}8$ Q$3-$ Question:

Start with the partial model in the file Ch05 P09 Build a Model.xlsx. You have been given the following information for a call option on the stock of Puckett Industries: P = $79.00, X = $85.00, t = 0.25, rRF = 4.00%, and o = 0.60. The data has been collected in the Microsoft Excel file below. Download the spreadsheet and perform the required analysis to answer the questions below. Do not round intermediate calculations. Round your answers to the nearest cent. Download spreadsheet Ch05 P09 Build a Model-40b084.xlsx a. Use the Black-Scholes option pricing model to determine the value of the call option. b. Suppose there is a put option on Puckett's stock with exactly the same inputs as the call option. What is the value of the put? Black-Scholes Model Current price of the underlyin stock, P Strike price of the option, X Time until the option expires, t Risk-free interest rate, rRF Standard deviation of the rate of retum on the stock, o a. Using the Black-Scholes option pricing model to determine the value of the call option N(dl) N(d2) Value of the call option, vc b. Using the Black-Scholes option pricing model to determine the value of the put option Value of the put option, VP $79.00 $85.00 0.25 4.00% 0.60