Call option-calculation of d1

Related BrainMass Solutions

• Black Scholes Model - Value of a call option

  What is the price of the call option? a. $2.02 b. $2.35 c. $2.67 d. $2.89 e. None of the above.

• Black and Scholes model

  standard normal distribution table) Thus, delta for call option=N(d1)= 0.1587 delta for put option=N(d1)-1= -0.8413 =0.1587- 1 Change in the price of option = delta x change in stock price Call option

• Price, Delta of a Call Option

  Value of call= S N(d1) - X * e -r(T-t) * N(d2)= $3.6702 =43 x 0.5002 - 44.33 x 0.4024 Answer: price of call option= $3.6702 What is the price sensitivity of the option to changes to the price of the stock?

• Option Pricing-Black Scholes, Put Call Parity

  What is the composition of the initial replicating portfolio for this call option? c. Use the put-call parity relation to find the Black-Scholes formula for the price of the corresponding put option.

• What is the Black-Scholes value for a dividend paying stock?

  of call option for different dividends paid.

• Question about Value of Call Option using Black-Scholes model

  N(d1) and N(d2) represent areas under a standard normal distribution function. Using the Black-Scholes model, what is the value of the call option?

• Value of Call Option using Black-Scholes model

  We can also calculate the value of Put option using put call parity Put call parity c+ Xe^-(rt) = p+S or p=c + Xe^-(rt)-S= $1.0916 =5.6935+68.4426-73.0445 which is the same price of put option that was obtained using

• Price of a Call Option Using the Black-Scholes Model

  =30 x 0.369961 - 34.421558 x 0.267425 Answer: Value of call= $1.8936 The price of a call option is calculated using the Black-Scholes Option Pricing Model in an attached Excel spreadsheet.

• Value of a Call Option using Black Scholes Equation

  Of dollar:pound exchange rate= 17% Currency option Using the Black Scholes Model Value of call= Se -rf(T-t) N(d1) - X * e -r(T-t) * N(d2) N (d1), N(d2) are cumulative Normal distribution d1= {ln (S/

• Black-Scholes call option.

  197486 Black-Scholes call option. Show that Black-Scholes call option hedge ratios also increase as the stock price increases. Consider a one-year option with exercise price $50 on a stock with annual standard deviation 20%.