Roslin Robotics stock has a volatility of 26% and a current stock price of $48 per share. Roslin pays no dividends. The risk-free interest is 6%. Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock. What is the impact on the value of this call option of each of the following changes (evaluated separately and expressed as a percentage of the original call value)? a. The stock price increases by $1 to $49 b. The volatility of the stock goes up by 1% to 27% C. Interest rates go up by 1% to 7% d. One month elapses, with no other change e. The firm announces a $1 dividend, paid immediately a. The stock price increases by $1 to $49 If the stock price increases by $1 to $49, the value of this call option is si and the change is | %. (Round to the nearest cent and to one decimal place.) b. The volatility of the stock goes up by 1% to 27% If the volatility of the stock goes up by 1% to 27%, the value of this call option is $ and the change is 96 (Round to the nearest cent and to one decimal place.) c. Interest rates go up by 1% to 7% t interest rates go up by 1% to 7%, the value of this call option is S and the change is 96 Round to the nearest cent and to one decimal place d. One month elapses, with no other change If one month elapses with no other changes, the value of this call option is $| | and the change is | %. (Round to the nearest cent and to one decimal place.) e. The firm announces a $1 dividend, paid immediately If the firm announces a $1 dividend paid immediately, the value of this call option is $| | and the change is | %. (Round to the nearest cent and to one decimal Roslin Robotics stock has a volatility of 26% and a current stock price of $48 per share. Roslin pays no dividends. The risk-free interest is 6%. Determine the Black-Scholes value of a one-year, at-the-money call option on Roslin stock. What is the impact on the value of this call option of each of the following changes (evaluated separately and expressed as a percentage of the original call value)? a. The stock price increases by $1 to $49 b. The volatility of the stock goes up by 1% to 27% C. Interest rates go up by 1% to 7% d. One month elapses, with no other change e. The firm announces a $1 dividend, paid immediately a. The stock price increases by $1 to $49 If the stock price increases by $1 to $49, the value of this call option is si and the change is | %. (Round to the nearest cent and to one decimal place.) b. The volatility of the stock goes up by 1% to 27% If the volatility of the stock goes up by 1% to 27%, the value of this call option is $ and the change is 96 (Round to the nearest cent and to one decimal place.) c. Interest rates go up by 1% to 7% t interest rates go up by 1% to 7%, the value of this call option is S and the change is 96 Round to the nearest cent and to one decimal place d. One month elapses, with no other change If one month elapses with no other changes, the value of this call option is $| | and the change is | %. (Round to the nearest cent and to one decimal place.) e. The firm announces a $1 dividend, paid immediately If the firm announces a $1 dividend paid immediately, the value of this call option is $| | and the change is | %. (Round to the nearest cent and to one decimal
