# Call option & Put option values

8-1

A call option on Bedrock Boulders stock has a market price of $7. The stock sells for $30 a share and the option has an exercise price of $25 a share.

a. What is the exercise value of the call option?

b. What is the premium on the option?

8-3

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 the Black-Scholes option pricing model, what is the options' value?

8-4

The current price of a stock is $33, and the annual risk-free rate is 6%. A call option with an exercise price of $32 and one-year until expiration has a current value of $6.56.

What is the value of a put option written on the stock with the same exercise price and expiration date as the call option?

8-6

The current price of a stock is $20 . In 1 year, the price will be either $26 or $16. The annual risk -free rate is 5%. Find the price of a call option on the stock that has a strike price of $21 and that expires in 1 year. (Hint: Use daily compounding.)

https://brainmass.com/business/finance/call-option-put-option-values-562252

#### Solution Summary

Assume that you have been given the following information on Purcell Industries.

According to the Black-Scholes option pricing model, what is the options' value?