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Option valuation. Jack has 200 shares of Allied Business Corporation (ABC) in his portfolio with a current share price of $44. Call and put options
Option valuation. Jack has 200 shares of Allied Business Corporation (ABC) in his portfolio with a current share price of $44. Call and put options are available on ABC shares, with an expiry date in 3 months, both with a strike price of $41. The continuously compounded risk-free rate is now 5% per annum and the standard deviation of the ABC share price is estimated to be 14%. The table of cumulative normal distribution is on the Moodle site. Using the Black-Scholes option-pricing model, calculate the premium on the ABC call option. a. What is the value of d? Number Round your answer to two decimal places. b. What is the value of call delta? Number Round your answer to four decimal places. c. What is the value of the call option? $ Number Round your answer to two decimal places. d. What is the value of the put option? $ Number Round your answer to two decimal places
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