finance

Finance 406 – Black-Scholes

Once the call is determined, use put-call parity to find the price of the put.

1. Current Stock Price: $40 Time to maturity: 6 months $6.58

Deviation of Stk. Pr.: .45 Risk-free rate: 6%

d1: Exercise Price of the Option: $38

d2: N(d1):

N(d2):

2. Current Stock Price: $16 Time to maturity: 12 months $1.88

Deviation of Stk. Pr.: .3 Risk-free rate: 12%

d1: Exercise Price of the Option: $18

d2: N(d1):

N(d2):

3. Current Stock Price: $48 Time to maturity: 5 months $14.85

Deviation of Stk. Pr.: .8 Risk-free rate: 2%

d1: Exercise Price of the Option: $38

d2: N(d1):

N(d2):

4. Current Stock Price: $23 Time to maturity: 3 months $3.83

Deviation of Stk. Pr.: .4 Risk-free rate: 6%

d1: Exercise Price of the Option: $20

d2: N(d1):

N(d2):

5. Current Stock Price: $105.12 Time to maturity: 180 days $8.51

Deviation of Stk. Pr.: .2 Risk-free rate: 10%

d1: Exercise Price of the Option: $105

d2: N(d1):

N(d2):

6. Current Stock Price: $350 Time to maturity: 150 days $26.53

Deviation of Stk. Pr.: .2 Risk-free rate: 4%

d1: Exercise Price of the Option: $340

d2: N(d1):

N(d2):

7. Current Stock Price: $514.80 Time to maturity: 365 days $58.93

Deviation of Stk. Pr.: .2 Risk-free rate: 4%

d1: Exercise Price of the Option: $500

d2: N(d1):

N(d2):

8. Current Stock Price: $125.46 Time to maturity: 10 months $38.92

Deviation of Stk. Pr.: .83 Risk-free rate: 4.46%

d1: Exercise Price of the Option: $125

d2: N(d1):

N(d2): .

9. Current Stock Price: $59 Time to maturity: 18 days $3.48

Deviation of Stk. Pr. : .5 Risk-free rate 1.75%

d1: Exercise Price of the Option: $57

d2: N(d1):

N(d2):

Answers: .6217 .4562 .31 -.11 $4.94 .5636 .4443 $1.95 .16 -.14 $4.54 .73 .21 .7673 .5832 .87 .67 .7486 .8078 -$.03 .29 .43 .6664 .6141 $3.60 $34.01 .43 -.33 .3707 .6664 .6064 .6443 .37 .27 $1.36 .6736 .5987 .45 .25 $30.50 -$1.09 .6141 .42 .29 .6628 $3.49 $.54 .6591 .8078 $3.83 .7486 .41 .09 .5359 $11.09 $1.43

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