Question 22

Using Black-Scholes Model,

a) Determine a European call option on a NDP stock when the price is $51, the strike price is $50, the risk-free rate is 10%, and the volatility is 25%, and the time to maturity is 3 months. Then, calculate its Delta

The option price: $

(Keep 2 decimal places)

Delta

(Keep 2 decimal places)

b) Determine a European put option on a NDP stock when the stock price is $68, the strike price is $71, the risk-free rate is 10%, the volatility is 25%, and the time to maturity is 6 months. Then calculate its delta.

The option price: $

(Keep 2 decimal places)

Delta:

(Keep 2 decimal places)

Whan ftak Scholes Modet dertas The eption price: s Deep 2 decimal ptacest Deita: Geep 2 decimal places b) Detemine a furopean put option on a Nop stock when the stock price is 568 , the strike price is 571 , the rikk-free rate is 10 , the volatilty is 25%, snd the time to maturiy in 6 months. Then calculate dista The onfist arice: I (Kees 2 dechmal ptaces) Dovin (Keep 2 decimal places) Whan ftak Scholes Modet dertas The eption price: s Deep 2 decimal ptacest Deita: Geep 2 decimal places b) Detemine a furopean put option on a Nop stock when the stock price is 568 , the strike price is 571 , the rikk-free rate is 10 , the volatilty is 25%, snd the time to maturiy in 6 months. Then calculate dista The onfist arice: I (Kees 2 dechmal ptaces) Dovin (Keep 2 decimal places)