| Spring 1, 2013 |
| | | | | | | | | | | | | | | | | | | | 7/22/12 |
| Chapter 8. Ch 08 P08 Build a Model |
| Except for charts and answers that must be written, only Excel formulas that use cell references or functions will be accepted for credit. |
| Numeric answers in cells will not be accepted. |
| |
| You have been given the following information on a call option on the stock of Puckett Industries: |
| | P = | $65 | | X = | $70 |
| | t = | 0.5 | | rRF = | 4% |
| | s = | 50.00% |
| a. Using the Black-Scholes Option Pricing Model, what is the value of the call option? |
| First, we will use formulas from the text to solve for d1 and d2. |
| | | | | | Hint: use the NORMSDIST function. |
| | (d1) | = | | N(d1) = |
| | (d2) | = | | N(d2) = |
| Using the formula for option value and the values of N(d) from above, we can find the call option value. |
| | VC | = |
| b. Suppose there is a put option on Puckett's stock with exactly the same inputs as the call option. What is the value of the put? |
| | | | | Put option using Black-Scholes modified formula | = |
| | | | | Put option using put-call parity | = |
Kr3wlove
problem_lambda.xlsx
