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    Black Scholes: value of a call option on Kellogg

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    Use monthly price data for the last ten years (ending June 2004) on the Kellogg Company:
    http://edgarscan.pwcglobal.com/servlets/getCompanyDetail?Name=KELLOGG+CO

    and the ten year average annual return on 10-year treasury constant maturity rate bonds. Apply the Black-Scholes option pricing model to find the value of a call option on Kellogg stock with the following characteristics:

    Exercise Price - $45.00
    Maturity - 6 months

    © BrainMass Inc. brainmass.com March 4, 2021, 6:01 pm ad1c9bdddf
    https://brainmass.com/business/black-scholes-model/black-scholes-value-call-option-kellogg-23763

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    Solution Summary

    Using monthly price data for the last ten years on the Kellogg Company, and the ten year average annual return on 10-year treasury constant maturity rate bonds and applying the Black-Scholes option pricing model, the value of a call option on Kellogg stock with a given exercise price and maturity is calculated.

    $2.49

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