Share
Explore BrainMass

Price of call option using Black Scholes

Please check the document attached. Thanks

(I've added risk free rate, time to expiration, current price)

Date Open High Low Close Adj Close
2/17/2009 5.07 5.21 4.51 4.57 4.57
2/9/2009 6.57 7.05 5.35 5.57 5.57
2/2/2009 6.20 6.66 3.77 6.13 6.13
1/26/2009 6.46 7.81 6.00 6.58 6.58 I need to know, weekly log returns, weekly and annual standard deviation.
1/20/2009 6.48 6.88 5.05 6.24 6.24
1/12/2009 12.86 12.90 7.00 7.18 7.18 Based on the volatility price a June call option (one period) with exercise price of $5.
1/5/2009 14.38 14.81 12.95 12.99 12.99
12/29/2008 13.57 14.57 12.66 14.33 14.33
12/22/2008 13.90 14.01 12.72 13.36 13.36 Current Price 3.93
12/15/2008 15.05 15.39 13.51 13.80 13.80
12/8/2008 16.19 18.00 13.90 14.93 14.93 Risk Free Rate is not given, but I think it's $2.80 (10 year Us T-bill)
12/1/2008 15.59 15.60 12.77 15.24 15.24
11/24/2008 12.59 16.39 12.43 16.25 15.89 About the time of expiration is June, from today (I don't have other information)
11/17/2008 16.21 16.28 10.01 11.47 11.21
11/10/2008 21.05 21.14 14.88 16.42 16.05
11/3/2008 23.97 24.62 19.95 20.49 20.03
10/27/2008 20.87 24.17 20.02 24.17 23.63
10/20/2008 23.92 24.92 20.49 21.07 20.60
10/13/2008 23.78 27.21 21.65 23.24 22.72
10/6/2008 31.78 33.49 18.99 20.87 20.41
9/29/2008 36.70 38.50 30.25 34.48 33.71
9/22/2008 35.97 37.50 32.00 36.70 35.88
9/15/2008 28.23 39.50 25.00 37.48 36.65
9/8/2008 35.26 35.70 30.37 33.74 32.99
9/2/2008 32.73 33.14 29.82 32.23 31.51

Attachments

Solution Summary

Price of call option using Black Scholes option pricing model and Binomial model.

$2.19