Question
need some help please. 4. compare the price on July 24, 2009, of the following options on JetBlue stock to the price predicted by the
need some help please.
4. compare the price on July 24, 2009, of the following options on JetBlue stock to the price predicted by the Black-Scholes formula. Assume that the standard deviation of JetBlue stock is 65 % per year and that the short-term risk-free rate of interest is 1.2 % per year. a. December 2009 call option with a $ 5.00 strike price. b. December 2009 put option with a $ 6.00 strike price. c. March 2010 put option with a $ 7.00 strike price. a. December 2009 call option with a $ 5.00 strike price. The December contract expires on the Saturday (December 19) following the third Friday of December; there are 148 days left until expiration. The price of the call according to the Black-Scholes formula is $____. (Round to the nearest cent.) (Select the best choice below.) A. The December 2009 call option with a $ 5.00 strike price is in between $ 0.45 and $ 0.55. B. The December 2009 call option with a $ 5.00 strike price is in between $ 2.30 and $ 2.45. C. The December 2009 call option with a $ 5.00 strike price is in between $ 0.80 and $ 0.90 D. The December 2009 call option with a $ 5.00strike price is in between $ 1.40$1.40 and $ 1.50
b. December 2009 put option with a $ 6.00 strike price. The price of the put according to the Black-Scholes formula is $____. (Round to the nearest cent.) (Select the best choice below.) A. The December 2009 put option with a $ 6.00 strike price is in between $ 0.80 and $ 0.90 B. The December 2009 put option with a $ 6.00 strike price is in between $ 1.40 and $ 1.50. C. The December 2009 put option with a $ 6.00$6.00 strike price is in between $ 0.45 and $ 0.55 D. The December 2009 put option with a $ 6.00 strike price is in between $ 2.30and $ 2.45.
c. March 2010 put option with a $ 7.00 strike price. The March contract expires on the third Friday of March (19th); there are 239 days left until expiration. The price of the put according to the Black-Scholes formula is $___. (Round to the nearest cent.) (Select the best choice below.) A. The March 2010 put option with a $ 7.00strike price is in between $ 0.80 and $ 0.90. B. The March 2010 put option with a $7.00 strike price is in between $ 1.40 and $ 1.50 C. The March 2010 put option with a $ 7.00 strike price is in between $ 2.30 and $ 2.45. D. The March 2010 put option with a $ 7.00 strike price is in between $ 0.45 and $ 0.55. Click to select your answer(s).
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