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CH8 Eoc

The document contains information about option pricing examples using the Black-Scholes model. It includes the inputs and calculations for call and put options on stocks with different prices and strike prices. It also includes an example of using put-call parity to value a put option.

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Scottie Eugene
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25 views7 pages

CH8 Eoc

The document contains information about option pricing examples using the Black-Scholes model. It includes the inputs and calculations for call and put options on stocks with different prices and strike prices. It also includes an example of using put-call parity to value a put option.

Uploaded by

Scottie Eugene
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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exrcs price $15

exrcs value $22 market value $27


time value $5 stock price $37

stock price $15 e 2.7183


strike price $15 Vc $1.67
time (yrs) 0.5
variance 0.12
rf 6%
d1 0.24495
N(d1) 0.59675
d2 0.00000
N(d2) 0.50000

stock price $30 e 2.7183


strike price $35 Vc #REF!
time (yrs) 0.33333333
variance 0.25
rf 5%
d1 -0.33192102
N(d1) 0.36997445
d2 -0.62059616
N(d2) 0.26743268

price $20 cu $5
pu $26 cd $0
pd $16 u 1.3
rf 5% d 0.8
strike price $21 Ns 0.50
call payoff $8.00 $8.00
price call $7.61
Vc $2.39

P= $65 X= $70
t= 0.5 rRF = 5%
s= 0.50

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) = 0.038 N(d1) = 0.515107672
(d2) = -0.316 N(d2) = 0.376124596

Using the formula for option value and the values of N(d) from above, we can find the call option value.

VC = $7.803

b. Suppose there is a put option on Puckett's stock with exactly the same inputs as the call option. What is the value o

Put option using Black-Scholes modified formula = $11.075

Put option using put-call parity = $11.075


ORMSDIST function.
e call option value.

he call option. What is the value of the put?

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