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    Price of a Call Option Using the Black-Scholes Model

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    Use the Black-Scholes model 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

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    https://brainmass.com/business/black-scholes-model/price-of-a-call-option-using-the-black-scholes-model-194262

    Solution Preview

    Please see attached file

    Use the Black-Scholes model 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

    We will use Black Scholes Pricing Formula

    Value of call= S N(d1) - X * e -r(T-t) * ...

    Solution Summary

    The price of a call option is calculated using the Black-Scholes Option Pricing Model in an attached Excel spreadsheet.

    $2.19