Accounting Help: What is the value of a 3-month call option with a strike price of $25 given the Black-Scholes option pricing model

Saturday, November 9, 2019

What is the value of a 3-month call option with a strike price of $25 given the Black-Scholes option pricing model and the following information?

$3.38

$3.42

$3.68

$4.27

$5.39

C = ($29.30 × 0.74699) - ($25 × 2.71828^-0.04 ^{× 0.25} × 0.66642) = $5.39

61.

What is the value of a 6-month call with a strike price of $25 given the Black-Scholes option pricing model and the following information?

$0.93

$1.06

$1.85

$2.14

C = ($17.20 × 0.26016) - ($25 × 2.71828^-0.0375 ^{× 0.5} × 0.14456) = $0.93

62.

What is the value of a 6-month put with a strike price of $27.25 given the Black-Scholes option pricing model and the following information?

$4.71

$4.88

$5.24

$5.64

$6.62

P = ($27.25 × 2.71828^-0.035 ^{× 0.5}) + $1.46106 - $22.60 = $5.64

63.

What is the value of a 3-month put with a strike price of $45 given the Black-Scholes option pricing model and the following information?

$0.57

$0.63

$0.91

$1.36

$1.54

P = ($45 × 2.71828^-0.045 ^{× .25}) + $9.31 - $52.90 = $0.91

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