Question
PLEASE SHOW WORK IN EXCEL: Build a Model Chapter: 8 Problem: 8 You have been given the following information on a call option on the
PLEASE SHOW WORK IN EXCEL:
Build a Model Chapter: 8 Problem: 8
You have been given the following information on a call option on the stock of Puckett Industries:
P = $65 X = $70 t = 0.5 rRF = 5% s = 0.50
a. Using the Black-Scholes Option Pricing Model, what is the value of the call option? First, we will use formulas from the text to solve for d1 and d2. Hint: use the NORMSDIST function. (d1) = N(d1) = (d2) = N(d2) = Using the formula for option value and the values of N(d) from above, we can find the call option value. VC =
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? Put option using Black-Scholes modified formula = Put option using put-call parity =
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