1. RED DOT currently sells for $56, its volatility is 35% interest rates 2%. Use the Black and Scholes equations to compute the value of a call and a put. The strike price is $55 and the options expire in 220 days.

2. Check the answer with the bsm calculator

3. Compute the . delta-theta-gamma approximation for a value of a call after 25 days for a stock price of $60. Compare this to the actual call premium computed based on the new price and time to expiration. Does the approximation work? Shortly discuss.

4. You are a market maker who purchases one put contract (use info from #1) you would like to hedge your risk. Describe the portfolio you would establish to control stock. . Compute price risk.

5. Based on your answer to #4 compute your one-day holding profit if the new stock price is $58. And If the stock price is $52.

6. Based on the information from #1 set up a bear spread using calls with K = $55 and $65 (use software in the excel file attached to compute values). What are the combined Delta, vega, and Theta of your position? Then shortly explain the sign on each Greek.

Assume you have been given the following information on Purcell Industries
Current Stock Price= $15 Exercise Price Option=$15
Time to maturity of option=6 months Risk-free rate=6%
d2=.00000 d1=.24495
N(d2)=.50000 N(d1)=.59675
Using the Black-ScholesOption Pri

Using the Black-Scholesmodel to determine the option price for the May 35 call for Chaseys as of April 18, 2005. The expiration date for this option was May 18, 2005. The annualized interest rate on a T-bill that matures that same day is 3.0%. Chasey's stock closed at $36. The historic variance for Chasey's is 0.25. Assume

Assume you have been given the following information on Purcell Industries:
Current stock price = $15 Strike price of option = $15
Time to maturity of option = 6 months Risk-free rate = 6%
Variance of stock return = 0.12 d1 = 0.24495
d2 = 0.00 N(d1) = 0.59675
N(d2) = 0.5000
Using

5) Binomial OptionPricing: Suppose we live in a 3 period Black-Scholes world, t=0,1,2 whichidentify as follows. There is a stock with price S(0)= 1 in period 0.In each period , t=1,2, the price can either go up to u. S or down to d.S.
Suppose u=1.2 and d=0.9. Suppose that the interest rate is constant at 4%.
A) What i

Assume that you have been given the following information on Purcell Industries.
Current Stock price=$15 Strike price of option =$15
Time to maturity of option =6 mos Risk-free rate =6%
Variance of stock return=0.12
d1 = 0.24495 N(d1) =0.59675
d2 = 0.00000 N(d2)= 0.50000
According to

Attached is word doc describing requirements as well as the Excel template. Please let me know if you can help me with this request.
Excel programming: optionpricing with six-step binomial tree
You need to have six input cells: S, X, rannual, σannual, T, and N=6. All other cells should be formulas and automatically c

Use the Black-Scholesmodel to find the price for a call option with the following inputs:
(1) Current Stock price is $30
(2) Exercise price is $35
(3) time to expiration is 4 months,
(4) annualized risk-free rate of 5%, and
(5) variance of stock return is .25

Need answers with calculations in Excel spreadsheet.
1. A stock currently sells for $50 and pays no dividends. There is a call option (striking price = $55) on this security that expires in 61 days. At present U.S. Treasury bills are yielding 3.3 percent per year. You estimate the past volatility of the stock returns to be 39

An analyst is interested in using the Black-Scholesmodel to value call options on the stock of Ledbetter Inc. The analyst has accumulated the following information:
· The price of the stock is $40.
· The strike price is $40.
· The option matures in 3 months (t = 0.25).
· The standard

See attached file for full problem description.
summary of options purchased at beginning of 4th quarter with 3 months to expiration (european style options)
position shares premium strike price
long calls 63,000 $20.45 $110
long puts 63,000 $13.15 $110
beginning end
4th Quarter 4th Quarter
underly