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Using the data in Table 21.1. . compare the price on July 24, 2009, of the following options on JetBlue stock to the price predicted
Using the data in Table 21.1. . 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 1.0% 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. Note: Table 21.1 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 45 days left until expiration. The price of the call according to the Black-Scholes formula is $ 0.47'(Round to the nearest cent.) 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.) Data Table 5.03 -0.11 JBLU Jul 24 2009 @ 17:17 ET Bid 5.03 Ask 5.04 Size 168 X 96 Vol 7335887 Calls Bid Ask Vol Open Int Puts Bid Ask Vol Open Int 6 1000 84 14737 22 tid 09 Dec 500 UGO LA 09 Dec 6.00TUGOLF 10 Jan 500 UGG AAN 10 Jan 5.00 UGGAR 10 Jan 9.00 UGO A 10 Mar 5.00 UGO CA) 10 Mar 6.00 UGO CA 10 Mar 200 UGO CGI 0.80 0.45 0.85 0.50 0.06 1.05 0.65 0.40 0.90 0.55 1.00 0.60 0.15 1.15 0.75 0.50 47 2 125 28 0 0 0 5 5865 259 6433 0 818 50 146 3 09 Dec 500 WGO XA 09 Dec 6:00 UGOXFY 10 Jon 5.00 UGO MAI 10 Jan 6.00 UGO MF 10 Jan 9.00 UGO MI) 30 Mar 6.00 UGO OA) 10 Mar 6.00 UGO OR 10 Mar 700 UGO OGI 0.80 1.40 0.85 1.45 4.00 1.00 160 2.30 0.90 1.50 0.95 1.55 4.10 1.10 1.70 2.45 dil 40 41 10 10 Source: Chicago Board Options Exchange at www.cbo.com Print Done
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