Explore BrainMass

Explore BrainMass

    Black-Scholes Option Pricing Model

    Not what you're looking for? Search our solutions OR ask your own Custom question.

    This content was COPIED from BrainMass.com - View the original, and get the already-completed solution here!

    Using the Black-Scholes model 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 a 365 day year. Please show formula with the given figures.

    © BrainMass Inc. brainmass.com March 4, 2021, 6:24 pm ad1c9bdddf

    Solution Summary

    Black-Scholes Option Pricing Model has been used for valuing call option on Chaseys' stock.